A metal that always maintained a constant temperature would be amusingly hard to work into shapes.
Since, you know, most of the the time you heat metals to make them soft enough to bend and move- which can't happen because the magic metal can't gain heat.
What you're talking about reminded me of Phlogiston from Grammarie (It's a piece of fan-made content for D&D 3.5.) Phlogiston sits perpetually at a cheerful 1,000 degrees Centigrade. Or, rather, it and anything within a certain distance of it is raised automagically to that temperature.
It can be used in combination with the force-field based magic to make objects/areas permeable to everything but heat. Also lightsabers.
A substance that "stays hot" would have to be magic. Heat is a kind of energy, and a hot object's effect on other objects is energy transfer: it flows from high temperature to low. That is what you are sensing when you touch a warm or cool surface, if heat flows out the surface feels cold, if it flows in the surface feels hot, the faster the flow the more extreme the temperature feels. (And it's why a tile floor feels colder than the carpet right next to it. Different areas of the floor in your house are nearly the same temperature, but heat flows much faster through linoleum etc than the more insulating carpet.) If something keeps its heat energy, none is being transferred, and it would not seem hot.
It would have to have heat energy replenished constantly. That would either be from some kind of nuclear fusion reaction that would vaporize everything nearby, or magic.
Alternatively, it could "hold" a lot of heat (have a very high heat capacity, in physics terms), and thus lose relatively little when it melts (etc) other objects, but that heat would have had to come from somewhere, it's not technically limitless (it might stay hot for a long time, but not indefinitely), and it would super-heat the air near it. Convection is a huge problem come to think of it, lava is usually hot enough to ignite fabric at several meters distance, for example. (Lightsabers should cook the wielder, but they project a field that contains the energy in an area near the blade, or something.)
Structural integrity is a much lesser problem, if the material is a fantastic element or compound: it would just need to have a much higher melting point than known metals.
edited 23rd Apr '15 3:06:35 PM by rodneyAnonymous
Becky: Who are you? The Mysterious Stranger: An angel. Huck: What's your name? The Mysterious Stranger: Satan.
I wouldn't use bricks. You need something that can be actively cooled :P.
Reality is for those who lack imagination.