yes and no, one they keep your wheels cleanier so you don't have to wash them as much, and yes in the respect that removed they cool your brakes faster. Im one who believes that it doesn't make a significant difference so better off keeping them on unless you really just want to show off the brakes and don't need a fugly shield blocking them.
I believe Ford uses the same shields for the Cobra brakes as the stock brakes. IMO, it is just a matter of taste....I don't think it makes much difference on getting the wheels dirty, the rotor blocks it anyway. I have them on my fronts, but don't have them on the rear.