Should electrolytic capacitors get hot?
Electrolytic capacitors should not get too hot otherwise they'll have a tendency to vaporize the electrolyte. This can lead to spectacular results such as the capacitor exploding. Some electrolytic capacitors have notches in their casing to create a controlled explosion, though any explosion will render the capacitor useless.

Most likely you've hooked the electrolytic capacitor in the wrong polarity. Electrolytic capacitors only function correctly when hooked up with the correct polarity (higher voltage on the positive lead). If hooked up backwards, the capacitor will act more like a short circuit and get hot.