Yes, I would definitely install MSI Afterburner and turn on On-Screen display where you can select to display GPU and CPU temeperature in game.
Recently I discoered FFXIV was overheating my CPU because I had my CPU overclocked in the BIOS to 4.7 Ghz. I then went and set the CPU clock to Stock settings and that fixed the CPU overheating. Everything runs smooth now.

Checking temps is very important.