Stepper motors will heat up even "just sitting there", that's normal. And they do get pretty hot, that's normal too. If they get TOO hot, you can always lower the motor current using the DIP switches inside the Gecko.
The higher the better (within the driver's capability, which is 80V max for your Gecko). Higher voltage allows you to spin the stepper motor faster without stalling. Which means higher feed speeds and shorter machining times.
I am concerned that they have told me to get the wrong power supply. I am new to this, so please bear with me. Is there a calculator to figure out what the correct power supply voltage should be?