Theo's right, AFAIK. You can put DX2 chips in SX motherboards just by changing the clock speeds / multiplier. As long as it supported the right clock speed and multiplier an SX motherboard could support a DX chip. Pinout was pretty much the same for the Intel 486 chips, but some others (IBM, UMC) had even more variation.
Intel has done this with all of it's chips right up to and including the P4, I think. That's why overclocking works so well in some chips.
AFAIK the silicon die for the Palamino chips is basically the same for the whole range, it's just a matter of what bridges are set and such. Correct me if I'm wrong, here, anyone.
As to the heat issue, it's often more to do with FSB, clock settings and voltage. Faster CPU's heat up more than slower, so the HSF's are rated higher as you go up as well.
Remember, chips are semiconductors, not superconductors. They have a fair amount of resistance, and as you up the voltage, you're upping the heat output, like turning up the dimmer on a lightbulb. More light, more heat.
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