Been in Coz twice...March 09 and beginning Dec 10.
Generally speaking most hard core divers wore some kind of thermal protection...from shorties to full body semi-dry 5 mm. Couple of factors to consider...water temperature, your own comfort level, outside temperature, wind conditions, number of repetitive dives, duration of surface interval, distance between dive shop and dive sites, water conditions (choppy vs calm...combine with wind and you get sea sprayed on the back deck), etc.
In Dec, water temp was 81F. I saw some folks getting cold in the water at the end of their dives (in most cases 1 hour long), during surface interval while the boat is moving to another location or during the transit back to the dive shop. The majority of folks were doing two tank dive but I also saw some doing three and four tank dives (especially using Nitrox). If doing only one dive you could be fine with minimal protection but repetitive dives will be digging deeper into your energy reserve to keep you warm.
Myself, I was fine wearing a full length 3mm suit, but my GF needed to wear her Chicken vest underneath hers and I saw many DM wearing 5mm semi-dry because they spent their day on the ocean and in the water.
The other thing about Cozumel is all boat dives are drift dives which means you let the current move you around...Since there is minimal physical effort, your body does not generate an awful lot of heat...especially during your 3 min safety stop.