What would cause the box to be hot when wiring two lights to one switch ?

Hot as in temp? The only way would be if the switch is overloaded. Is this a dimmer switch? What is the total wattage on the lights?

Hot as in "live" and 3 40 watt bulbs in each and no dimmer switch

Back up, please.

Which box is hot? Under no circumstances should an outlet box be live.

How have you determined that the box is live? Did you use a meter?

You should have voltage present between the black (hot) conductor and the white (neutral) conductor. You will also have a voltage between black and ground.

There should be no voltage difference between White (Neutral) and ground and / or the white conductor and a properly grounded metal outlet box.

Only way box would be hot is if there is a short to the box and if the box is grounded, it would trip the breaker. Look for any wires touching the box, other than ground.