Upper limb prosthetic sockets continue to face persistent challenges in thermal regulation, energy adaptability, and user comfort. Although significant advancements have been made in terms of anatomical fit, mechanical performance, and mobility, commercial prosthetic systems often neglect integrated thermal management and adaptive power supply. This limitation contributes to heat buildup, sweating, and discomfort during prolonged use, leading to reduced user satisfaction and increased rates of device abandonment. While recent developments in haptic feedback have improved sensory realism by simulating touch and pressure, temperature feedback technologies remain at an early experimental stage and are rarely deployed in practical devices. This paper provides a comprehensive review of current energy storage architectures, thermal control mechanisms, and sensory systems applicable to upper limb prosthetics. Furthermore, it introduces a novel modular prosthetic sleeve designed through a collaborative effort between Warsaw University of Technology (WUT) and National Taiwan University of Science and Technology (NTUST). The proposed system integrates active cooling, temperature feedback, and customizable power modules into a compact, user-centric design. By addressing both thermal discomfort and energy inflexibility, the solution seeks to enhance long-term wearability, usability, and user quality of life. The modularity of the system also supports easier maintenance and upgrades, offering a scalable platform for future smart prosthetic innovations.