As the picture implies, shade from an umbrella is good even if it makes you look weird. Also can't discount having a spray bottle of water if the humidity is low.
The Salt Lake TribunePhoenicians! Las Vegans! People from other dry/hot places! You've dealt with this kind of heat before. Help us out! What's your best tip for how to deal? The funnier/more unusual the better. And Utahns, if you've already come up with your own ways to beat the heat, let us in on your secrets!