While you definitely need insulation in space, it's not really a question of heat or cold, because there is no atmosphere to conduct heat into or away from the astronaut's body. You know about the concept of a thermos that you use to transport soup or a warm drink, which has a layer of vacuum between the warm liquid inside and the colder world outside. Heating instead comes mostly from illumination from distant heat sources (sunlight), and cooling is simply radiating infrared light into space. As a consequence, what you need to maintain your temperature is cryogen, a reservoir of cold material that can absorb the heat you pick up from incident light.