There's only so much Wool Armor can do against the cold, and wearing Slime Armor to The Nether is just plain dumb. The addition of Hot Purified Water and Cold Purified Water could help regulate the player's temperature without having to use armor or coils.

Hot Water can be obtained by putting a regular Bottle of Water in the furnace twice. Once to purify it, and another to make it hot. Drinking it doesn't make the player immune to the cold, it simply raises their internal temperature.
For example, if a grey, neutral temperature has a value of 0, and a blue, dangerously cold temperature has a value of -100, drinking a bottle of Hot Purified Water could raise their temperature by about 40 points, keeping them from developing hypothermia.

It's the exact same thing with Cold Purified Water, but the opposite. It'd be extremely useful for keeping cool in The Nether. Cold Purified Water can be obtained by combining a bottle of Purified Water with an ice cube.