Training under heat could easily lead to a better expansion, because the collagen is way more “malleable” under higher temperatures (penis is >90% made of collagen). After the session, penis should be way bigger and hotter, perfect to be “shocked” by a source of lower temperature.
Note that ambience temperature, at this situation, is considered an “natural cool down”. So, if you use constant heat, you are already doing the cool down approach. Now, if you want to to step up and use a cold wrap, make sure to not pass the 2 minutes mark with the cold wrap at your penis.
Basics apply here too: don’t burn yourself with hotter temperatures or permanent damage your nerves with freezing temperatures.
Good luck.