The use of Shape Memory Alloys (SMA) in technical applications as damping in civil engineering structures requires the characterization of the alloy for each specific application. This involves the evolution of the mechanical properties and damping capacity with the number of cycles, frequency, maximum deformation, applied stresses, and the evolution of the alloy with aging time and temperature. In particular, the temperature effects associated to self-heating need to be evaluated. In continuous cycling the effects of latent heat, the associated dissipation induced by the hysteresis, the heat flow to surroundings and the cycling frequency induce different states of temperature in the specimen, which in turn produces changes in the transformation-retransformation stresses. In this article, the temperature effects associated to cycling are outlined for different cycling frequencies. The results show that, for relatively faster frequency the temperature arrives at an oscillatory state superimposed to an exponential increase. For lower frequencies, some parts of the sample attain temperatures below room temperature. The experimental results are represented with an elementary model (the 1-body model or the Tian equation used in calorimetric representation) of heat transfer. For the higher fracture where life requirements are associated to damping in stayed cables for bridges, the results show (for the NiTi alloy) a reduction of the hysteresis width as the frequency increases for deformations up to 8%. For reduced deformation, under 2% appears an asymptotic behavior where the frictional area is practically independent of the cycling frequency (up to 20 Hz). In addition, it is shown that more than 4 million of working cycles can be attained if the maximum applied stress is kept below a threshold of about 200 MPa. Although under this condition the deformation must remain lower than 2% a reasonable damping capacity can still be obtained.