Same here. I've got a gen 3 sable and mine does it also but i never bothered with it since as Capital Punishment said "Its not hot enough to burn or anything." I guess i just assumed it had something to do with the PATS part of the key.
I have a 97 Sable with PATS and it stays cool even after 7 or 8 hours of driving at a time. Call your local ford stealership and ask them. Then when they say that they want you to come in so they can check it out say you'll get back to them. I doubt its anything to worry about. My parents 95 grand prix has something like PATS in the key and it sometimes gets warm. Maybe its just a poorly shielded resistor in the key or they just work hotter with age or use. If you have a second key use that and see if it does the same thing.