For most ESCs, "just plug them in". That allows all 4 ESCs (the BECs in side them) to provide 5v power. What usually happens is that manufacturing tolerances will have one ESC producing 5.1 volts while the others produce 4.9, 5.0, 5.0. The 5.1v ESC will raise the voltage to 5.1v and the others will effectively turn off, seeing that the voltage is already high enough. This means that one ESC will get hotter than the others from just running the electronics with the motors not even running.
Often, the main heat source for the ESC is the BEC load (FC, receiver, GPS, servos, etc) and they don't get warm from running the motors.
For people that say to cut the red wire on all but one ESC servo connector, you should know that each ESC has 2 or 3 separate BEC chips inside, so you are already running them in parallel by the design of the ESC.
Opto ESCs generally don't have BECs and you will have to buy a separate BEC or use the one on some PDBs.
Some larger ESCs have a "switching BEC". It's generally accepted that it is NOT good to run these BECs in parallel, so slide the pin for the red wire out of the servo connector and tape it back to keep it covered and out of the way.