The existence of multiply-degenerate vacua in QCD introduces nonlinear, conformally-invariant modes (instantons). These persist at finite temperature T, where they are referred to as calorons. Atiyah and Manton have given a prescription that allows one to link instantons to skyrmions; the caloron is then a skyrmion at finite T We here study the free energy A(T) of this thermal skyrmion and find that, when temperature-independent parameters are used, A(T) decreases monotonically as T increases, so that no stable configuration is reached. Using a pion decay constant F(pi)(T) that is a function of temperature, as suggested by chiral perturbation theory, a maximum in the free energy is found at around T(c) = 160 MeV. We also study the N and DELTA masses for nonzero temperatures using the thermal skyrmion and find them to be appreciably changed from their values at T = 0.