There is known problem with battery holders. Some of them might have sharp edges or burrs, which can cut trough insulation of battery. In that case, battery would get very hot, as it short circuits. (Actually it only happens at negative holders)
So, you should check if there is some burr or spike etc at any of those holders and then carefully smooth it by sandpaper/file/knife/something. My mooshimeter did not have any symptoms of that problem, but still i found quite sharp edges, smoothed them and covered those holders with kapton tape (very thin electricians(?) tape).
There might be better ways to deal with it, or just simply put the batteries in the meter very carefully, but check for the burrs in any case.