The buses are air conditioned in La Paz.
It's a very walk-able town, but you may wish to take a quick cab ride to the cathedral/plaza area to save some walking energy. All the restaurants etc are located primarily along the boardwalk, which is where the buses depart.
La Paz was wodnerful -- people very friendly (Art chatted with one of the cops), no beggars, etc, and just very pretty all the way around.
We just walked about (having used my Fodors Guide), so can't say much on excursions there. Have never been to Loreto, but looking forward to that.