warm shower before cold shower?

I go to a place called Harbin Hot Springs in Northern California. It has a large "warm pool" where people loll about outdoors (generally unclad, as it is "clothing-optional" area.)

But the real treats are the Hot Pool and the Cold Pool. The Hot Pool is fed by a geothermal spring, and the temperature is adjusted to 110-114 F (averages about 113 F). It is HOT. (It's hilarious watching the uninitiated step into it for the first time.) It is about neck-deep, so you walk down stairs and stand in the water.

When you are thoroughly baked, you go up the stairs to the Cold Pool, which is stream-fed. Except during the summer, the Cold Pool is usually about 40-50 F.

Then you go back to the Hot Pool. We generally do seven cycles.

By the third cycle, your sensory nerves are jangling. You still feel sensations, but you can't distinguish between hot and cold--all of your sensors are firing at once. You become bulletproof; I've stood outdoors after a few cycles and felt perfectly comfortable in temperatures below freezing.

I don't know for sure what the real internal effects are. I usually lose a few pounds. I sleep deeply and for many hours. It feels both relaxing and energizing. Of course, this sort of "hydrotherapy" has long been popular in Europe, and what I am doing is similar to the Scandinavian custom of running out of a sauna and into the snow.

So, to answer your original question, I sometimes do what you're asking about, but I go from a hot (not warm) shower to a cold one.

(I also do Hot Yoga, and then take cold showers after the class.)