Do you think space, or rather the vacuum, is cold? During my survey on the web during the past few months, it clearly showed that most people would answer yes to that question.
Fact is that only matter can have a temperature, which is the speed of its molecules. The faster the molecules in a material move, the warmer that material is. Per definition, an absolute vacuum is a void, nothingness and therefore it cannot have any temperature. In as far as the space of the Universe is an absolute vacuum, that space cannot have any temperature and it is thus not "cold".
However, an absolute vacuum does not really exist; there are molecules whirling around everywhere in space. Actually, some recent theories say that all these molecules whirling around, constitute more mass than all the visible galaxies contain together - it's called "dark matter". Even so, the density of these molecules is so incredibly low, that in practical terms, as far as space technology is concerned, interplanetary space behaves as an absolute vacuum. Even the Moon, that actually does have an atmosphere in the sense that the density of its gas molecules is considerably higher than in "free" space, can yet be seen as an absolute vacuum environment in practical terms for human activity there. This means that the molecules that are there, do not have a measurable contact (convection) heat exchange effect with other materials around and thus a Moon vehicle or base on the Moon can neither be cooled, nor heated by these molecules.
The same is valid for space vehicles traveling around in the Solar System; they also have no measurable heat exchange with the molecules moving in the vacuum around.
Even on Mars, that has a well defined atmosphere, such heat exchange effects would not have much significance for human activity there, though it would be noticeable nonetheless. Surely, the air temperature on Mars can locally come up to plus 30 degr. C, but that doesn't mean you would "feel" it, the same as on Earth, because the Mars air is so much thinner. The atmospheric pressure on Mars is just 6 mbar, compared to Earth's atmospheric pressure of 1000 mbar. No industrial "vacuum" pump on Earth could reach such a low pressure and it is yet called a vacuum pump. Hence, in technical terms, also Mars could be seen as a vacuum environment for astronauts, just not an absolute one, as it is on the Moon.
This all means that space, the vacuum, is a perfect temperature insulator for convection heat. The only heat exchange that can be done between bodies in the vacuum is through radiation, because the vacuum lets electromagnetic energy pass through. Very fortunate, so we can get light and warmth from the Sun, all being electromagnetic radiation. The frequency of this radiation is a measure for how much energy it transmits. The higher the frequency, the more powerful the radiation is and usually penetrates deeper into materials. X-rays have a very high frequency and are therefore powerful enough to penetrate our bodies, which for example is used in medical applications. Gamma rays are even more powerful and are generated by decaying atoms - nuclear radiation. Heat radiation is called infra-red, because the color red is the lower frequency limit of what our eyes can see (violet the upper).
Infra-red has a too low frequency for our eyes to see and we feel it as heat instead. Its frequency relates to the temperature of the emitting body, the higher the frequency, the warmer that body is. This causes the so called green-house effect, because certain materials are more transparent for higher than for lower frequencies.