Unfortunately, I have always found SW to be very hot and very little shade. There are a few shows and experiences indoors (The animal show and the Cirque du Soleil type show are both indoors and air conditioned, the penguins and sharks and arctic experience are all indoors) but most of the "big ticket" stuff is outside. You can get shaded seats for the Shamu shows and dolphin shows depending on the time of day you are there and I think there were fans going as well but you kind of have to seek them out. We were there on a very hot and sunny day in Sept and it was tough (didn't help that I was 7 months pg!).
Drink lots of water, wear lots of sunscreen and try to get the sunny stuff done in the early AM or later in the day. It is a fun park and has lots of new stuff and is very pretty.
Have fun!
Jill