I usually have no idea what I am talking about, but that has never stopped me before. Stud, do you kegel while wrapped? This is a very good practice because no matter how “loose” you wrap, in order to keep your penis in an extended state there must be some pressure. Any pressure is going to restrict blood flow somewhat which is probably causing your coldness. Now I have only been wrapping for three weeks so I am still very new, but I have noticed that when I kegel while wrapped the head doesn’t get cold.
How cold is too cold? I can’t answer this definitively, but I would say any amount of coldness for an extended period isn’t good.
What should you look for? Well, coldness, and extended discoloration of the glans. These are both not good signs, IMHO. I would remove the wrap and let it “breathe” a bit.
As Thunder referred to “Practice makes perfect”!
My .02.