So, I just got one of this, and I'm quite happy with it, except the temperature.
It gets hot enough for me to be worried, so much that I've even placed it vertically, which helps with heat dissipation.
I was wondering if there are any packages that can help with the temperature and maybe energy consumption, like cpu frequency scaling, or any tips you might know!
Thanks!
At how many °C do you get worried?
A constant >70ºC, unfortunately no way to monitor temperature (that I know of) on this device.
You have measured the >70°C with a thermometer, not guesstimated with your fingers, right?-)
(Just to get a clear picture of what we are talking about)
Hah, I wish I had a proper thermometer or a thermal imaging camera for these kind of things! 
My reference is of course touch, under heavy load it gets really hot, feels like the >80ºC I experienced with Amlogic S905X android tv boxes. Since this is a device that is supposed to be on 24/7, it worries me. I wish lm-sensors worked on this device.
Regardless of that, and even if the device wasn't hot, I'd still like to know if there are packages which may improve energy consumption, or any general tips like reducing tx power.
At least last I recall, the "guideline" was that if you could touch the device for a few seconds, it was somewhere below 60° C / 140° F, which was then generally well below the "safe limit" for transistors or early ICs.
If you think you've got a thermal problem with the device, with standard caveats around voiding warranties and possibility of damage to the device, the first thing I'd try would be a heat sink on the SoC. Not completely sure if this is the correct device, but they look like bare chips in the photo at Xiaomi WiFi Router 3G - #29 by dror
That, of course, assumes you've got good airflow around the device, have blown out or vacuumed any dust you can from inside the case, and don't have it sitting on top of your 500 W stereo system, or the like 
How much power does it draw from the mains or from its power supply? There's no more than 2 W of RF output (30 dBm = 1 W) from a dual-band radio, and it typically doesn't run at anywhere near full duty cycle. Many devices already only put out 1/2 or 1/4 W at "max" output (27 dBm and 24 dBm, respectively). I'd be surprised if reducing the RF output dramatically reduced the total power consumption.
What, if anything, do you have running on it other than the wireless, routing, DNS, and DHCP functionality? Are you running a VPN on it?
(Unfortunately, the datasheet I have for the MT7612 gives the thermal characteristics as "TBD")
I've just started using the 3G and notice the same thing with temperature. I was looking for a little fan or similar to help increase airflow. Not noticing any issues with the temperature, just that it gets rather hot.
Buy some stick-on heatsinks like they sell to the Raspberry crowd. The MT7621 doesn't run real hot but the devices I have with it did come with a heatsink on the CPU.