There have been a few times where my iPhone (and iPod as well) has gotten slightly warmer than I would like after extensive use or a specifically demanding app (infinity blade). Should I be worried about my iOS devices overheating? If so what are some steps to prevent this and overall protect the device?
Yes and no.
The newer iOS devices have internal temperature sensors and will let you know when the internal temperatures are so high that damage is of concern. You basically get locked out of the device until it's cool enough to run again.
As long as the sensor is working, it is safe to use the device up until it shuts itself off. This protection should cover you from charging or operating the device and causing harm to the components in the short term as well as drastic long term damage to the battery.
If you are concerned about the long term health of the battery - then yes, do worry about temperature. At 0°C - you can expect to lose between 2 and 6% of the capacity per year depending on the average charge in the battery (the lower is at 40% average charge - the higher is 100% average charge). If the temperature is 25°C - these losses jump to 4% to 20% capacity loss. If you store/use the phone for one year at 40°C which most people would consider very hot to hold - the losses in capacity are 15% to 40% annually. Charging the battery this hot or hotter is even worse for the health of the battery.
So, a few times of limited use under 40°C shouldn't be of concern, but leaving it in a very hot car (> 50°C) can be very damaging if it's charging or there for hours or days.
Whenever you can keep it cooler, and not fully charged for long periods of time, your battery will degrade less over time. You can weigh the need to use the battery when warm with the eventual replacement cost of $79 if you should ever just need a battery swapped out by Apple.
Since you used the word "slightly", I'd say no, you don't need to be worried. Generally if your device gets heated when you doing some heavy duty stuff (for example like you said, playing infinity blade), I don't think it's a problem because in this case, most heat comes from the CPU, which has a fixed maximum power. The device is designed to withstand that power and should be able properly transfer that heat to the environment (that's one purpose of the steal band around iPhone 4).
However if you device is just doing nothing, and you feel it's hotter than usual, you may need to check and close some background programs. If it's still hot, turn off the device and see if it cools down. If not, there probably is something wrong with the battery.