I'm not bald, but I keep what hair I have at #1 blade length.
For cold rides, I have a pearl izumi helmet liner, which is a thin skull cap made to go under a bike helmet. It's made of some kind of black stretchy stuff. It's not too warm, but it's perfect for cool days, for keeping the draft off the pate. Also, it wicks sweat away from my head.
Heh. When I read the thread title, I thought it was a question about tires.