I just did a quick check on my phone. When the phone is idea and the screen has been off for a while the temp reads at about 27 degrees. When I use the phone for checking my email and just simple web surfing I see the temp jumps to around 35 degrees. So I guess if you are playing a game I would see the phone getting over 40 degrees easy. I will keep checking and tell you what I find.
I would suggest turning off the GPS and Bluetooth when not using them, and make sure your screen brightness is set to Auto so that it will use less power.