Even without the humidity, I definitely wouldn't go to Vegas between June and late August/early September. The first time I went was July 2007, and when I left the hotel to catch my red-eye home at 4am, it was STILL 104 degrees outside!
The analogy is pretty simple. When you go outside, it's like walking into an oven that's set to broil. You can't walk 50 feet without breaking a sweat. Another way to think of it is being in a sauna non-stop.
There is a RV park about 30 miles from downtown, and even they close during the summer months because of the heat..