I just make sure my daughter has sun screen on and has plenty of water to drink. They need the fresh air and exercise.
Just felt the need to add a few things:
Here in Michigan, we get spells of very hot (90+) and humid weather and this summer seems to be more than typical, so on those days I limit her time outside. She still seems to tolerate it better than I do! Also, when the weather is like this and if the day allows for it, we'll opt for the pool or the lake to help stay cool. My daughter loves to swim and if I kept her in from 10 to 4, she would never get the chance.
It seems to me that too many kids are being raised in these climate controlled bubbles and then have no tolerance for hotter days, colder days, a little rain, etc. My stepsons were like this and it was so hard to get them to play outside for any length of time at our house because they were so used to just sitting inside the AC and just watching TV for as long as they liked (since their mom allowed it, and there were other factors at work here, but that's a whole other issue). As long as they are protected from the sun, are well hydrated, and you exercise a little common sense, they'll be fine.