Judging by my experiences of regular dream, I am able to feel cold and hot, but never the pain. One of my most notable experience of this occurred when I was young, a little less than 15 years ago. I was having a nightmare, and was panicking.

I was being chase by a dinosaur, got my hand bitten, and it was at that moment i was able to know I was dreaming, since i felt no pain. I was looking at the raptor bitting on my hand. I was still panicking at that moment, but i was able to wake myself up. I think i was between 5-7 year old at that moment

As for cold, 2 nights ago(or about), I had a false awakening, which led to a very rich dream, a dream with a very high level of detail. I was fooled in thinking i had found out I could fly. I was outside in the snow, and i cold feel the cold air, the snow made me shiver and I felt my feet melting the snow, becoming wet in the process.