I think that is a very personal decision and one that will vary from person to person.
For ME, I want to be a woman. If I could snap my fingers and magically change sexes when I dress, that is what I'd do. So I'll bear with the sweaty wig.
Lots of folks it is like you stated, more about the clothes only. There is nothing wrong with that, just a different path.
I understand the heat thing and GG's deal with it too even without a wig. My wife has thick hair and over the years it has gotten shorter. She wears it shoulder length, but to keep cool she started buzzing it up to the top of her ears in the back. The longer top just covers it all up.