Plus, my adjectives needed a run.
As cold as a temple maiden’s heart. She awoke with a sigh, a slight, distant smile on perfect lips, still painted red from His kiss. My love, if only they knew …
The air was crisp and cold and scented with incense and blood, faint hints of the smoke of the sacrificial blaze tinting the darkness as the witchlight bloomed at her word, and she slid long white legs from beneath the furs piled high on her bed. Bare feet touched the flagstones and made small, neat prints through the droplets and whorls of crimson. She lifted the pointed coronet to her head, slipped on a pair of low boots, clipped a heavy, gem-decorated necklace to a simple halter, and wound a heavy silk scarf around her hips, knotted so that the ends hung like the teasing reminder of a skirt. Taking a long, serrated dagger in one hand, she reached back to the bed and gathered an armful of the furs, wolf and sable. Then, with the absent gaze of one still half-dreaming, she took in the blood-spattered white stucco walls of her chamber. The shuttered window sang with the thin sigh of the North wind, snow on the breeze.
He shivered. The night was cold; it was always cold. He stamped on the spot to keep his feet moving, long slender fingers curled tight within thin leather gloves and arms wound tight around his chest. Breath frosted the air, which stung with every intake. The cloak fluttered where it should drape closely to his hunched form, and he reached out with a curse to draw it closed again.
The dark stone of the walls bore spreading flowers of frost, each perfect arc another hour he should have been back at the barracks, asleep in the warmth of his bed. His eyes drifted closed, and he forced them to open once more. His companion hissed softly, though whether alert to the danger of falling asleep on watch, or merely amused at his exhaustion, he couldn’t tell. Restless, tonight as every night, he scanned the black northern sky, clear and pitiless with the cold eyes of stars, and found nothing to report on the hourly bell.
It was harder to keep upright now and the skin over his sharp cheekbones felt pinched, as if it had been limned in ice. The biting cold wind whipped his hair into his face, and he pushed it back with a shaking hand. He stared hard at the shadows, shifting with the passage of clouds across the second moon, rising to illuminate the city he was tasked with defending. There was something there, out in the darkness …
She seemed to float across the black stones, bootheels clicking contrapunto to her swaying hips. He couldn’t be sure if she was a wraith, if he was awake, if her perfect marble skin wasn’t an illusion conjured by the drifting snow and tired eyes. Too slowly, he reached for his sword, but the blade had frozen in the sheath and she was upon him, standing so near that he could feel heat radiating from her near-naked form. He wanted to pull her closer, drink in the heady sweetness of another living being, warm and alive. He wanted to draw his sword and dispel the illusion that mocked his vigilance. He wanted to sleep.
She reached up to twine her arms around his neck, watching as his eyes flew wide. He tried to speak, lips barely moving as she brushed them closed with one small white hand. She pulled the bundled furs apart and reached up to drape them around his shoulders. At their heart they were still warm from her rest, scented and heady with incense and woodsmoke. She tucked them artfully around the cold statue, the broad shoulders with their high pauldrons, the strong arms, the narrow close-belted waist. He shivered as the warmth took hold, feeling life seep back into tired limbs.
“A cold death brings no glory to Khaine.” She whispered it, tracing a sharp nail down the side of his neck, just below his ear. Blood. She could hear it now, racing along his veins with each quickening breath, just above the muted sound of battle-cries and the screams of the dying. She held his chilled face between her hands, breathing warmth into his mouth with her bloodied kiss.
“When He takes you, your blood shall run bright, red, and hot.” She stepped back and turned to walk away, leaving him with the blessing of the Bloody-Handed God.
) thus they were able to not feel the cold. Otherwise, Naggaroth would be littered with Druchii popsicles 
Some kind of less metaphorical extension of the heat of battle perhaps.
