That's the cause of pressure, not heat. As I said before, most heat loss on Earth is down to conduction, so the only important factor in space is heat radiation, the effect of which is slow and may well be countered by normal heat generation. In any case, your clothes would make the difference. A space walk dressed in tin foil would solve your temperature problem, insofar as there is one.
The breathing problem remains the number one issue.
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