I didn't experience any thermal issues, no. Bear in mind it is only rated up to 1 watt though. Mostly I use it for the low-end stuff. I have two other power meters, one that tops out at 6.5 watts and one that goes to 15 watts, so most of the time the Lasercheck is seeing Class 3B stuff only.
But it's a solid device that is surprisingly accurate and consistent. Just make sure you clip that damned resistor off as soon as you get it. Otherwise you'll have a dead unit in about 3 years, even if it's been sitting on a shelf the entire time...
Adam