How to set temperature warnings to avoid overheat?

You can use psensor to monitor the computer temperature. This is a GUI application that readout the CPU and Mainboard sensors.

sudo apt-get install psensor 

After starting psensor, go to the "Sensor preference Menu", choose your CPU sensor and click on Alarm - Activate Desktop Notifications. You can modify the temperature limit for your needs:

Can also start after login:

System-monitor GNOME extension

You also have system-monitor:

And choose your threshold

AFAIK it just changes the temperature color. No notification or acoustic alarm. There is a feature request about this issue.