Are DIP sockets against overheating worth the cost?

If you are not going to swap / change / reprogram your ICs just solder them. I have never overheated any DIP IC during the soldering. It is not easy to overheat them. Maybe 40 years ago ICs were more sensitive but nowadays it is not the issue,

If you're in a design stage, a socket can turn a real pain in the neck into a momentary problem, allowing you to swap out that microcontroller with, say, a burned out DIO, with a brand new one, in seconds. Otherwise, break out the iron.

If you are skilled in soldering, overheating the DIP package while soldering shouldn't be a problem. Also, the sockets can introduce problems themselves due to bad contact. Just keep the soldering short, below 3 seconds per pin as a rule of thumb.

Sockets are great when you are working on a prototype and there is a real chance of blowing up the IC during testing, e.g. a stepper motor driver or similar.