Here is something to consider.
Our phones have no fans installed to keep them cool.
They rely on passive cooling. Passive cooling is achieved without the use of devices such as fans or water pumps to keep the components cool. Your phone is one beast of a device in terms of the electronics it contains, and even at stock voltages, if you do enough things that require a lot of CPU (and / or other IC) power, you're going to need to dissipate that heat.
If you look carefully at the back where said plastic comes attached, you'll notice that it is metal. Metal is a good conductor of heat. However, plastic is not as good of a conductor, and will help 'insulate' all of that metal.
Basically, what I am saying is this: leave the plastic on and take your chances with the heat build-up - or remove it and not.
The choice is yours.
(I have no real scientific data to back this up, other than my knowledge of the phone as I have been using it for the last 9 months, but I can say this:If it were meant to be permanently left on there, it sure as hell would be a lot tougher to take off!)