I've been in the sahara a few times and like parves says, dry heat is the killer.
Humid heat makes everything feel ten times more difficult, it felt like it was hard to breathe even.
Dry heat is more dangerous because your sweat evaporates as soon as it is produced and so you don't realise you're sweating, so you don't realise you're dehydrating. It doesn't make you thirsty, which makes it even worse. You have to just keep on drinking.
Shade is really good, it takes away the intensity of the sun, but the air temperature is still high so that dehydration is still taking place.
And don't forget in the desert at night it can get really cold.
How wrong it is for a woman to expect the man to build the world she wants, rather than to create it herself. ~ Anais Nin