Nope. I'm more of a fire aligned demon, though it's not as if the cold hurts me in return. It'd take a pretty hefty Bufu spell for me to feel any kind of chill, honestly.

[But, he keeps his hands there, intent on warming him up so that he doesn't catch a cold, or something like that.]

It's perfectly normal. I could go outside in what I'm wearing right now, if I wanted to, and it wouldn't effect me.