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I am pretty familiar with using a Hennessy Hammock and let me tell you right now that without an underquilt, a hammock is by far the COLDEST sleep experience you will ever have.
Think about it, your back is separated from open air by a thin piece of nylon fabric. You can feel every breeze that hits the hammock and sends chills down your back. Even with a sleeping bag you will need the warmest one you can carry with you. Your weight squishes the insulation down, and once again, your back is about an eighth to a quarter inch from the open air.
Don't even get me started. I'm the coldest sleeper I know but without proper gear you WILL NOT be able to fall asleep in a hammock. You will shudder throughout the night. Truly miserable. You probably should bring the heaviest sleeping bag you have plus a sleeping pad. I like my Thermarest Neoair.
I've heard good things about underquilts. They make a lot of sense to me. You can get a nice thick layer of non-compressed insulation this way.