The 'heat' issue is not an issue.
While it's true that a cone filter under the hood in the stock airbox location will draw in the engne heat more directly than the stock system with ducting that brings in cooler outside air, this is really only the case at idle, and the greater amount of warm air is marginal. Even the stock airbox and duct winds up getting warm at idle and so the air drawn in is warm, plus the stock airbox uses the emissions-related system that draws in hot air from around the exhaust manifold during engine warm-up, and this also conributes slightly to warmer air seeping into the airbox even during normal operation.
It's also incorrect to assume that you want cool/cold air drawn into the motor in the first place, as while cool/cold air is denser and does give increased power, this also burns more fuel to do so. Warm air doesn't produce as much power, but gives better fuel economy. Of course, this effect is very minimal either way when it comes to the 4.0L OHV V6 and so it doesn't really matter, how you drive makes a bigger difference than the temperature of the air.
The big reason why it doesn't matter though, is that once the vehicle is moving, all the warm air in the engine compartment is pushed away, and what you get is a steady mix of air that has gone through the radiator/condenser and is warm, with outside air that comes through the bottom of the engine compartment, and so the temperature of the air that will make it through the intake should be fairly moderate.
The big difference the S&B filter on the KKM filter kit makes is flow. The 4.0L OHV benefits greatly from being able to suck in more air than the stock airbox and filter (even a drop-in K&N) can provide. Of course, this also burns more fuel. However, I have found that if you take it easy and drive normally, fuel economy is either average or above average.
It's important to remember that having mods like an air intake and exhaust doesn't mean you have to keep a heavy foot on the gas or always drive like you're in a race to take advantage of them. You can drive normally but only take advantage of the increased performance ability when you need it.