When I was a kid we’d be spending a whole day playing in snow. When we’d come home in the evening with ice on the shoes, hair and cold hands and feet - but not as bad as getting real frost bites - would have a little warm up. My grandmother taught me to wash my hands with cold water at first then gradually add warm water. I still remeber cold water felt warm on frozen hands. Also many times when my hands were cold I’d make some snowballs, feel cold for a few seconds then my hands would start warming up really fast, like glowing with heat. I think there’s something to it, though being a bit cold and having frostbites is a big difference. I personally never experience any frostbite.