That would be awesome.
There are a lot of advantages to this idea, but it is not without tradeoffs. For example, for these sorts of suits to work properly they need to be in contact with all of your body. Any gap, between your toes or your legs... and you will have problems. This can be overcome but you basically end up having to tailor each suit to a particular astronaut. The suits currently used on the ISS are not specially tailored, they basically just have "small/medium/large" (though they have a greater variety of sizes for gloves).
Mechanical compression suits are lighter than pressure suits in the first place (in addition to being less bulky), so having every astronaut bring along their own might not be too unreasonable now that I think about it. More labor with the tailoring bit, but not if you heatshrink them...
Better try it on some sausage or a (dead) chicken first :)
Is it? A naive application of the Stefan–Boltzmann law yields a loss of about 1 kW through heat radiation alone.