Heat lamp

I thought the same thing so I adjusted the light to make a shady area that remained warm.  I don't think they have to be kept in the actual light because when momma would sit on them, they were pretty much in the dark then.  They do need to stay warm so if you do adjust the light to give them the option of shade, just make sure that the area is still at the right temperature.
 

I keep the heat lamp on day and night if it's cold. The chicks don't mind, but then I also hang a huge feather duster in the brooder so they can crawl under it if they want to. They love it!

If you are using a red heat lamp they can sleep better than a regular light.  Unfortunately it is almost impossible to find a red light bulb anymore unless it is a 250 watt, and they are too hot in the summertime.  The red bulbs cause less pecking and I believe keep them calmer.  You would think with all of the expensive chicken brooder products out there today that someone could just manufacture some red bulbs in smaller wattage.  When I first got chickens you could buy incandescent 60 watt bulbs, but they are off the market now.  

I seen walmart carries some 75 watt reptile bulbs that look almost black for $6.00. They seemed to have mixed reviews for reliability. I'm going to try one. My birdies will show up mid September. I've been digging around to see what people are using to get ready.

Our local Petco has red lights ranging from 40 watts on up to 250.  40 was too low for our brooder, so I got a 100 and its working perfectly.