Bobdog, what year is your car? Is the heavy cable from the battery to the starter overheating as well? Are any wires down stream from your horn relay getting hot or just the ones from the battery to the relay? On a 68 the power wire from the terminal block goes to a junction and then to the relay, the junction is just four wires welded together in a splice and wrapped in the harness near the horn relay. The wires are red from the terminal block, red from the alternator, black fusible link then orange to the voltage regulator, and red to the horn relay. The red wire from the splice connects to the terminal on the relay marked BAT and that terminal is a one piece connection for the terminal that has a black fusible link and then a red wire which is the power up wire for the rest of the car, those two wires are always hot. A problem with any of those could cause the overheating. The horn relay also has a hot black and pink wire that goes to the key and the drivers door jam switch and is the key reminder circuit. The other hot black wire off the relay goes to the horn switch in the wheel. The wires to the horns are only hot when the horn switch is grounded and the relay closes.
I'm sorry I shouldn't have used the term hot or always hot, I meant they are connected to battery power and always have 'juice'.
