Hi drog,
All other things being equal and ruling out any other factors … this could be the reason. You may be sinking in more deeply into this mattress than with your previous mattress and with the sheets possibly being a less breathable layer … they could be reducing the airflow and resulting in a thicker “insulating” layer around your body. A leather fabric on a car seat that covers foam would be an example of how a single layer can lead to temperature or perspiration issues.
Because you are looking to reduce the amount you sink in (to be confirmed because you also mentioned wanting some extra “plushness”) … and because of the excellent breathability of wool, a wool mattress protector or even a mattress pad (a little thicker) that has protective qualities may well do the trick in both of the factors you are looking to fine tune. There’s more information and some links to some good resources in post #10 here about some of the differences between different types of protectors, mattress pads, and mattress toppers and some examples in post #15 here.
An example of a thin wool protector (not so much a mattress pad) that is water resistant (not waterproof), thin and stretchy (so it has less effect on the mattress) and very breathable would be the Dormeir. They are high quality and available at several places including here and here. More information about various wool mattress pads and sources is in the last part of post #32 here and in post #3 here.
I would probably suggest waiting till your experience on the mattress has “stabilized” and you have more clarity on what you want to adjust and how and then deciding what if anything you may wish to add to the mattress.
Phoenix