(OT Maybe?) Peltier

Heya guys I am getting some peltiers to play with, I was reading and it
seems there is a maximum heat difference between the hot to cold side. I
was wondering if it is possible without harming the peltier to run it
without a heatsink so it doesn't get quite so cold? I want it to get cool
just not freezing. Initially I was just going to use a voltage control to
the peltier to get it to the temp I want it, but if by not putting a
heatsink it operates within a good range I would rather do that. So can it
be done?

-Chris