you can use all those in the same occasion. To specify, 머리 좀 식히고 올게요 literally means I'm going out to cool down my head. When you have some problems to worry or things to be solved using your brain, your head would be steamed up :P So, when they say that, it implies, 'to get some fresh air". And the other two expressions literally means "to get some fresh wind,바람 or air,공기" 바람 좀 쐬고 올게요;공기 좀 쐬고 올게요. We usually say first two expressions, 머리 좀 식히고 올께요and 바람 좀 쐬고 올게요 rather than 공기 좀 쐬고 올께요.