my fan light cuts off by it self after its been on for a while, Is that suppose to happen?

No, and I am unaware of any overheating protection in the fixture.

It is probably related to the same thing that caused our lights to quit working completely. Here is what I posted to another question about the lights: We had the same problem with our fan. We bought it in July and the lights quit working. We called Hunter and they are sending a replacement light fixture. The part that burned out is a government mandated part that they have since changed the way it is on there. They knew exactly what we were talking about when we called and didn't give us any trouble and they are sending out the replacement part in the next week or so.