According to a teardown done by the Chinese Weibo website, both the Xperia Z5 Premium and the Xperia Z5 actually use a dual heatpipe cooling solution in order to keep the Snapdragon 810 well cooled. Sony also used a lot of thermal paste which should transfer the heat from the Snapdragon 810 SoC to the smartphone chassis.
Earlier heat tests already showed that Xperia Z5 Premium does heat up but not as much as earlier smartphones.
We are yet to see some first reviews of the Xperia Z5 Premium smartphone but for now, it appears that Sony has found a way to keep the Snapdragon 810 SoC well cooled.