Using concentrated sunlight for photovoltaic energy conversion has long been identified as a way to make cost intensive solar cell materials and devices more cost effective. The recently proposed micro-concentrator approach for Cu(In,Ga)Se-2 brings concentrator photovoltaics from the centimeter and millimeter scale down to the micrometer scale, with the goal of reducing the amount of critical raw materials. We show here that the micro concentrator, approach has large benefits in terms of the heat dissipation and that heat management on the micro-scale allows the use of concentration factors as high as 1000 x without any special cooling efforts. Specifically, we show that line-shaped micro-concentrator solar cells need to be either smaller than 50 pm wide, or be used at low concentration factors below 100 x. In contrast, island-shaped micro-concentrator solar cells show improved efficiencies at cell sizes of (100 mu m)(2) and concentration factors up to 1000 x. Additionally, we consider different materials for the substrate and the lens array for light 'concentration in view of their heat management capacities. The results presented here provide design guidelines for the further development of thin film micro-concentrator solar cells, applicable to a variety of materials systems, e.g. Cu(In,Ga)Se-2, CdTe, or metal halide perovskite solar cells.