By modelling the wire as an (ideal) resistor and applying Ohm's law, you can get P = I^2*R. the power lost in the wire is actually proportional to the square of current through it!
Therefore, if you double the current, the heat quadruples instead of doubling! You actually have to use four times the copper (to decrease resistance by 4x and get heat under control), or the wasted energy quadruples too.
Crucially, voltage is not in the equation, so high voltages - tens or hundreds of kilovolts - are used for long distance power transmission to maximise efficiency (and other impedance-related reasons).