I have used a short sleeve and shorts version last summer for my son, and didn't have issues with him getting hot or cold. They are a different type of material than regular swimsuits. The ones I have are very breathable, and not tight either. Some are tight. I'm not sure what that difference would be. I got a long sleeve for this year, but haven't used it yet.
Regardless, they are the BEST way to protect your baby's skin. They can be expensive, yes, but since I have to worry about skin cancer in my family too, I don't mind this expense at all. I have gotten more burns than I can count in my life. I hope to save my child from having to deal with that. Regular clothing only provides an SPF of 4 or 5, not nearly enough. And one severe burn in childhood can double your chance of skin cancer as an adult. And also, it is a WHOLE lot easier to just put sunscreen on the face, ears and hands. :)
I got this brand this year, they had some on half price a couple weeks ago. www.uvskinz.com