In the delivery room, wrapping a low-birth-weight neonate (defined as ≤2.499 g) in a polyethylene bag reduces the risk of hypothermia. However, extended use of the bag (e.g., during neonatal surgery) might conceivably increase the risk of thermal stress and thus body overheating. Here, we assessed the efficacy of a polyethylene bag in infants assigned to wrap (W) or nonwrap (NW, control) groups during placement of a percutaneous vena cava catheter by applying a new mathematical model that calculates heat exchanges for covered and uncovered body segments. At the end of the placement procedure, the W and NW groups did not differ significantly in terms of whole-body heat loss (15.80 versus 14.97 kJ·h−1·kg−1, resp.), whereas the abdominal skin temperature was slightly but significantly higher (by 0.32°C) in the W group. Greater evaporation in the W group (2.49 kJ·h−1·kg−1) was primarily balanced by greater whole-body radiant heat loss (3.44 kJ·h−1·kg−1). Wrapping the neonate in a polyethylene bag provides a small thermal benefit when catheter placement takes a long time. Given that polyethylene is transparent to radiant energy, it might be of value to incorporate polymers that are less transparent at infrared wavelengths.