To get your LEDs to light the resistance will have to be very low. If you write 1 to the resistance value then it will be 40Ω and a current of 3/40 = 75mA will flow. This will destroy your LED(s)- assuming normal 20mA ones. A setting of 4 will reduce the current to less than 20mA and your LED(s) will survive. However, the chip will be dissipating 1/4W - assuming both resistors used. And, that is why it's getting hot. You cannot drive LEDs directly from these devices.
Mike.