Well, when it's cold and I feel cold, I find that it is always best to have a drink or two to "warm up" then smoke a bowl.
However, on those times when I have felt cold, and it was cold outside (middle of winter) then I didn't really feel high until I got back inside... Weird... Had never considered that part before... I guess because you are cold you don't take in the fact you are stoned until you are warmed up again LOL...