The room is heated on purpose. Not to make you suffer, but to make you to be able to sweat more, and stretch better. The heat is mainly there to prevent injury. It loosening up your muscle when you do the yoga poses, thus minimizing the risk of injury. The heat also help to make you sweat more, thus cleanse the toxin out of your body, increasing heart rate which in turn burn more calories and increase blood circulation. So the heat is not your enemy, in a hot yoga class, the heat is your best friend.