I would only worry if the wheel gets noticeably hot with only light use of the brakes, obviously the rotors and calipers will heat up quite a bit.

 

Just installed the front rotors and opads, along with a k&n air filter last night and drove it into work this morning. it still has a bit of a smell to it on all four tires but no glowing or smoke.

 

did you clean the rotor off with brake clean as some companies put a coating on them to keep from rusting and if not, that will burn off with a strong odor

I found using a 80 grit sand paper ( after cleaning the rotor ), i would scuff up the rotor surface as well as the pad to make them seat faster.

 

I would check that the pistons are releasing the brakes after you stop. If there is dirt behind there they may be not retracting properly and sticking partially on.