A newspaper article from september 1995 says that even when the astronauts tried to get cold, by staying in the shadow of the shuttle out in the vacuum of space they were still warm and comfortable.
But to NASA's delight, Endeavour's two spacewalking astronauts kept warm Saturday thanks to new heated gloves, thermal socks, boot liners and toasty long underwear.
In this scenario the spacewalk lasted at least an hour at temperatures as cold as -120 or -130
This kept them warm even though
the spacewalkers remained motionless on the robot arm in an attempt to get cold
Though this apparently had no effect as at one point one of the spacewalkers
had to turn off the fingertip heaters in his gloves
This information is probably quite old as this occurred about 18-19 years ago and technology is likely to have advanced. Though i imagine the basics would be the same as it appears relatively simplistic to maintain heat.
On the front of protection from radiation on spacewalks it seems like, other than the suit, there is none!
This website talks about the plans for the EVARM badges to be attached to various parts of the space suit to allow measurement of exposure to radiation to see if any further protection is needed.
Actually, I told a small lie, there is one other form of protection that they get from radiation other than the space suit. Timing. Much like launches, NASA make sure to monitor the sun for solar flares and generally make sure there is no astronauts about when one is going off. Making sure to only send them out into space when radiation is at its lowest provides one of the highest forms of protection at this time.
Coming from a hopefully more recent, though perhaps not entirely reliable, source we have this HowStuffWorks article on spacesuits.
There is a section on temperature control which talks about how they layer the fabrics of the space suit to ensure as much heat is kept in as possibble. It also bring up the interesting point of heat removal, heat builds up seemingly easily and if not released on occassion then the astronaut risks dehydration and a foggy visor from perspiration.
Cooling systems range from fans which blow air to water cooled systems to remove heat.
That same article also gives us a little more insight onto how they are protected from radiation. It shows that the spacesuit is reflective to purposefully reduce the amount of radiation. It concurs with my previous point about spacewalks being planned to avoid solar flares. Being caught in a solar flare in just a space suit would be about as effective as trying to walk on the sun wearing tin foil and leaves.