have you tried this thing? what about the boys?
I do in fact own one . . . not much more effective than a thin weight low cut smartwool sock. Little less bulky than the sock, easier to fit inside the shorts and no interference with the pedal stroke. I had that problem with a sock, but maybe it takes some positioning tweaks to get right.
Interesting note on the Thermajock: it seems designed to only fit the penis, not the testicles. A sock allows more flexibility in that regard. But really the testicles are more or less shielded and closer to the legs to receive that residual warmth.