I guess this might mean anything from small things like not putting a jumper on just because you feel a little cold up to stuff like finshing a shower with a minute or two of cold. You could try saunas with cold plunges, too.
The Wild Boy of Aveyron seems to have been pretty much insensible to heat and cold when he was found. This was the boy, found in 18th century France, who'd been brought up by wolves. I think it was simply a case of his not being in the habit of wearing clothing or using bedclothes. He was just used to variations in temperature and not bothered by it:
Victor of Aveyron - Wikipedia, the free encyclopedia
What you eat and drink, and your general health and hormonal status, is going to be relevant here. A major one, as I understand it, is alcohol. That will interfere with your cold-tolerance. I don't know much about that side of things, though. the one person in the paleo community who makes a speciality of that is the Nashville neurosurgeon Dr. Kruse. You might find something on his site. If not, he has an "Ask Jack" board on his forums where you can put a question direct to him.
Begin Your Journey Now - Jack Kruse