"Жаркая" is used only in very specific contexts, primarily when talking about weather, climate etc.: жаркая погода - hot weather. You can also use it figuratively, describing a person oozing sexual passion - in this sense it is approximately equivalent to "hot in bed". Be careful though: English "hot woman" should not be translated as "жаркая женщина" - the former refers to looks while the latter - to passion.
Yes. If you want to express "I am hot" (because the weather is too warm), you would say "Мне жарко". "Я жаркая", on the other hand, is something else.
Btw, grammatically it's very similar to German: Mir ist kalt = Мне холодно = I am cold, while Ich bin kalt = I am a cold person. (In Russian, "я холодный" would most likely imply a lack of fever, rather than cold-hardheartedness, but the latter is not excluded an would be quite normal when describing someone else).