Leave the jumper set to USB, which means the processor will be powered via USB.
Nothing should get hot. If that is happening, you must have one of the jumpers hooked up wrong. Unplug it and check things over.
The USB power alone isn't enough to power the relays. You will need additional power to trip them. If you have 12v relays, then your 9.6v power supply might not be enough to make them click. Find a 12v power supply.