I'm not bald, but I keep my hair under 1mm (check my avatar, LOL) and yeah, it feels cold. My ears are also very sensitive to cold. So I use very thin skullcap or very thin balaclava up to 50F or so. They have very little insulation, just enough to stop the cold air and are breathable so my head doesn't sweat. I own a few from Pearl Izumi and Under Armour.

This is what I have been wearing this week: http://www.amazon.com/gp/product/B000L7O01C

It's basically just a breathable, elastic fabric shell and the face part is clever, it can hide entirely below your chin to uncover your face, but will still keep the cool air from entering through the opening around the neck. I think they also make a skullcap like that too.

And if it gets too cold, I just pull another skullcap over it.