@MM, we've been in the 105 F area for 2 weeks now, so I know all about humid, hot, nasty and buggy. Blech! Like I said, if you have a good fly misting system in the barn or don't mind going out and spraying your horse 2 or 3 times a day, keeping him inside without a mask or a sheet is definitely possible. Turning out at night you won't need either one and most folks don't leave a fly mask on for night time turn out due to vision issues.
After Bless got so sunburnt last year, I couldn't touch her face even to get a mask on, she stayed in the barn during daylight hours and then went out all night. She healed up well and this year we started out with Sun Block & her mask and she's fine, a happy camper.
Skip seems to like his sheet, it keeps the flies from getting to him and I don't have to chase him around with the bottle of Hiss (fly spray). He's good about it but would rather not. And considering that oil and suntanning can make for a really bad burn in humans, I'd rather not use it on them anyhow. It's all a matter of personal choice and I don't think there's only one right answer.