Hi Mike,
No experience of a Grand Cherokee Auto I'm afraid but it is almost a certainty that you will have transmission oil cooler on this type of vehicle and a trans o/heat light.
Speaking generally there are quite a few things you can do before turning to the transmission cooler as the cause of you problem.
Firstly check for engine coolant, engine oil and gearbox fluid levels - any serious loss in any of the above will cause the engine and the gearbox to overheat. Secondly look for leaks from all visible oil and coolant tubes, radiators ( you may have up to four of these) and sumps. Thirdly check all those radiators for blockage from leaves or mud and fourthly check the drive belt or belts for damage, missing or looseness and the fan for damage and correct operation i.e if it is electric does it cut in at the right temp or if a viscous fan does the coupling stiffen up when hot?
If you find nothing obvious after going methodically through the above then it is possible you have more serious problems such as an internally blocked engine rad, a stuck engine coolant thermostat, a defective oil cooler or even a knackered transmission. With modern electronic systems you may also have overheat signals, corrupt or otherwise effecting the operation of your transmission via the relavent ECU's.
You may be lucky and it is something simple like a leaky hose or broken belt or low fluid (how did it get low?) but a dealer visit seems to be looming if not - good luck anyway.