Both heat and could dmg can't be completely nullified when you enter them the first time. So you need to find and/or buy clothes that help you keeping the heat/cold dmg minimal.
For the winter region you will need a transformation you can find in the south-western plains, Clothes that protect against the cold also help.
As for the desert, it can be visited any time but I would recommend clothes that protect against heat while traveling it. There is also a Varia Potion in town that temporarely reduced Heat and Cold Dmg taken.
Hope this helps, if not feel free to ask more!