Sephiroth's feet are always cold. Cloud knows this because of the nights he's spent in the General's bed with the two of them curled together under the covers. Sephiroth always tries to press his feet against Cloud's calves to warm them and Cloud always tries to squirm away until the silver-haired man twines his arms around the blonde's slender form and pulls him close, the General's embrace too tight for Cloud to wriggle out of.
Cloud always protests, just a little, before giving up and letting his head rest on Sephiroth's chest. It's warm enough, after all; Sephiroth's feet might be cold but the rest of him always feels like it's just this side of burning. Cloud always wonders about that in passing, but it's easy enough to not worry about that when Sephiroth's hands are sweeping across his back leaving tingling waves of pleasure in their wake.
Sephiroth's feet might be cold all of the time, but for Cloud it's his hands that are never warm. Even during summer the only way he can chase the numbness out of them is by holding a cup of steaming hot tea between them, fingers wrapped carefully around the ceramic. During winter it's much worse, especially when he and the other troopers run through routine drills with their standard ShinRa issue firearms and he can barely go through the maneuvers because his hands are so numb.
Sephiroth holds his hands, sometimes, when they are alone and no one is there to watch and then whisper to other what they've seen. Then at night when they are together Cloud presses them against the warmth of Sephiroth's chest directly above the older man's heart. When they last traces of cold are gone Sephiroth lifts Cloud fingers to his lips and brushes kisses against them so that Cloud feels warm all the way down to his core and can imagine that he'll never be cold again.
But of course, that's just a dream. His hands will always be cold and Sephiroth's feet will never be warm.
But they can keep the cold away from each other, even if only for a little while.