To test materials for how well they hold the heat, you need three foam cups and a thermometer.
Pour an equal amount of hot water into each cup and place your test material over the top. You might put aluminium foil on one, a handkerchief on another and a sheet of paper on the third.
After 5 minutes place a thermometer on each material and find out the temperature. The one which reads the lowest temperature holds the heat best.
See what happens when you put two or more thicknesses of material over the cups.
Also try investigating different materials.