Considering I've done it on my Cobalt, and my lights aren't melted...nor are anyone elses whose done them on their Cobalts...my buddy's BMW's didn't melt when he retrofitted it...
Retrofit source says to do it this way - and they're pretty much the name/resource for projector retrofit. Every single how-to I've seen for retrofitting any car ever has you bake the headlights.
They won't melt. They're designed not to melt.
Have fun doing it some other way though. I'll keep baking mine and will never have a problem.