I would not, at least not on airless planets. There simply isn't any matter to get the 'heat message' across. Sure there is a temperature, but what does that mean in a vacuum?
In many movies you see someone instantly freeze when he is exposed to empty space, while in reality someone would die from hypothermia after 45 minutes. The vacuum itself is more deadly.
Heat is only transferred in 3 ways.
Radiation - emitted (radiated) away.
Convection - through gas or fluids.
Conduction - through direct contact between substances.
In the vacuum of space you don't have gas or fluids, thus ruling out convection. Nor do you have any direct contact with other substances, which rules out conduction.
That means an object in space, such as a person floating around or a spaceship can only get rid of heat through radiation which is not as efficient as the other methods. Other ways is transferring heat to an object, e.g. heat sinks, and ejecting the object.
This really means you'll suffocate and die long before you freeze to death in space.
However, while in the dark side of a planet you are not increasing your heat from radiation from the star so while you aren't "cooling off" you are certainly seeing a decrease as far as radiated heat from the star goes. Which means you heat up slower while on the dark side of a planet rather than lose heat faster.
Really is only a problem if your ship generally runs hot, and you fly with flight assist engaged.
True, but with FA-OFF you'll keep getting 'dragged' towards planet and need to compensate for that anyways at some point.