Yes, you can build tolerance to cold temperatures by slow gradual exposure to them. Using cold water at the end of showering and wearing one Layer of clothes less to feel slightly cool (but not freezing) works well. Aside of cold tolerance, the benefits include boosting your imune system, turning your white fat into Brown fat, which is able to burn calories (and make heat from them, that’s why you feel warmer) and lowering inflammation in your body.