I've read about patients being wrapped in cold wet sheets as "therapy"...in early 20th century mental hospitals/insane asylums.
Would I feel happier after stepping out of an ice cold shower? Yes... but if I held my hand on a hot oven I would feel much happier after removing my hand from the hot oven
I wouldn't even want to imagine being wrapped in wet sheets or having a cold shower but if it works for you...