Answer:
Break me and I am better immediately set and harder to be broken again.
I can wave my hands at you but I never say goodbye. You are always cool when with me even more so when I am high!
Good memory, skin like the sea. A great beast I am, yet vermin frightens me. What am I?
I come without being fetched at night hides away as soon as daylight strikes. Although I may look small I am much mightier than what you can imagine.
I am an object which is used in baseball. During the day I can't be seen at all. What am I?
The answer I give is yes, but what I mean is no. What was the question?