A warm Fleshlight feels so much better then a luke warm one but it is true that they cool off pretty fast if you use warm water. Wrapping it up in a heating blanket works much better.
The best way to get that hot sensation is to warm your lube up. Mix it with a teaspoon of really hot water and you get a very slippery liquid that makes any Fleshlight feel amazing.
It is a huge mistake to not warm the sleeve up before use imo. You get so much more sensation out of them when they are at or above body temperature.