Yes. Take it back to where you bought it from and ask for a replacement. I heard about this new Slims over heating protection but to get this on a 2 days old only console is something I wouldn't have expected and takes the biscuit considering all the drama MS had with the RROD on their old 360's design.
My slim is about a month old and I've experienced some freezing as well, but luckily never the red dot of death. After the freeze I hand checked the console and It was pretty hot so I'm guessing that's the cause of the freeze.
Agreed. Mine froze twice since I've had it (1 month), and both times were after I finished one game, then went to the Live menu, put CoD: Modern Warfare 2 in, then pressed play, and it would freeze at the loading screen. But once I restarted it, it ran great. But like you said, mine was really hot around the exhaust fans on the side.