It really depends on the cigar. Often smaller RGs burn hotter, but some blends are still nice and cool even for lanceros (RP Fusion, just for 1 example). One easy way to counter it is to simply take drags less often, but then you end up walking the line between burning too hot and not staying lit, lol. But the bottom line is that you often (usually?) can't smoke them as fast as you would a larger RG vitola without them getting too hot--which not only can harm your palate but can cause the flavors to become bitter.
I find that the Tat Victorias, for example, is a tad hot but not "too" hot for me, but still stays lit just fine when I take a minute or more time between drags. I'm a pretty slow smoker, so I don't mind taking the time.
Heat is a major issue for me, but the flavor of lanceros still makes me smoke them when I can
