In standard cylindrical gradient coils consisting of a single layer of wires, a limiting factor in achieving very large magnetic field gradients is the rapid increase in coil resistance with efficiency. This is a particular problem in small-bore scanners, such as those used for MR microscopy. By adopting a multi-layer design in which the coil wires are allowed to spread out into multiple layers wound at increasing radii, a more favourable scaling of resistance with efficiency is achieved, thus allowing the design of more powerful gradient coils with acceptable resistance values. Previously this approach has been applied to the design of unshielded, longitudinal, and transverse gradient coils. Here, the multi-layer approach has been extended to allow the design of actively shielded multi-layer gradient coils, and also to produce coils exhibiting enhanced cooling characteristics. An iterative approach to modelling the steady-state temperature distribution within the coil has also been developed. Results indicate that a good level of screening can be achieved in multi-layer coils, that small versions of such coils can yield higher efficiencies at fixed resistance than conventional two-layer (primary and screen) coils, and that performance improves as the number of layers of increases. Simulations show that by optimising multi-layer coils for cooling it is possible to achieve significantly higher gradient strengths at a fixed maximum operating temperature. A four-layer coil of 8 mm inner diameter has been constructed and used to test the steady-state temperature model.