The transmission warms up a bit but most of the heat is conducted through the engine block into the transmission. The rest of it is radiating off the exhaust. Remember the faster you go it will channel more air past the exhaust and rush behind the engine, around the firewall and transmission tunnel. Since these vehicles are so high off the ground you also get a stream of air running underneath them that is slightly higher in pressure than ambient at higher speeds, that will keep the hot air as high as possible. If you had an exhaust leak this effect would be exacerbated further.