trying to add science into Star Wars is useless. Light Sabers, Gravity, Shields all of those things in Star Wars have no basis in reality.
Remember in Empire they walk out of the MF while in an asteroid field inside a giant space monster which has other space monsters flying inside of it.
Well being fair, they did have breath masks which gave them air. Now..as to why they didn't freeze to death, then I got nothing. I mean unless the worm was warm enough to heat its own body, to keep itself from freezing it space that could be a possibility.