I think the UWLD LD-40 + UWLD Heat Controller + UWLD Tall (160 W-Hr) battery is an awesome solution and the one I use.
For caves, I usually just put the light on the can.
For cold wreck dives, I just put the heat controller on the can and use a cordless light. As someone else already noted, you don't generally need a light for much burn time during a wreck dive.
Occasionally, I will put the light and the heat on the can. That would generally only be when, either, I don't need the light for that long (e.g. wreck) and I only need the heat for during deco (and, really the heat is a "want", not a "need"). Or, when I want the light for a longer dive (e.g. cave), but I only need the heat on a low setting during deco (e.g. 20' and up, getting out of Ginnie Springs).
I LOVE the flexibility that this UWLD setup gives me. And the quality cannot be beaten.