Cold resistance 5 will be plenty shelter from all but the most extreme cold. According to Frostburn, of course. And all you need on top of that is one of the minimum cold protection methods to be immune from extreme cold conditions (even the supernaturally cold step).
What do you mean by 'minimum cold protection'?
I'm actually beginning to rethink the character. Well, not so much. More like, revisit a previous idea. I'm thinking it may behoove me to go with Totemist instead of Swordsage afterall. Not that I was stepping on Rufei's toes, but two monk-like characters seemed a bit excessive. Downside is I'll have lower AC, and a low Wis score/will save, though at the next feat level I'll qualify for Steadfast Determination, so it's not that bad.
Plus, I won't need to worry as much about magic items (specifically, the notion that the nature forms can't wear them), as well as the fact that the two classes synergize well (almost as well as Totemist//Druid) given the shapeshifting features, and I can pick a different race and still be able to take the abyssal heritor feats Sinfire mentioned.
Speaking of which, the Chaond race is perfect for such feats/concept, being innately chaotic rather than Good/Evil like Aasimar/Tiefling. They're planetouched, so qualify for Lesser version. They are slightly more powerful than Aasimar/Tiefling, though, so if it comes down to it, I can make some adjustments and still be happy.
Also, Incarnum is awesome. 'Nuff said.