Alcohol poisoning is very dangerous, and the best approach would be to avoid ever drinking too much. The feelings of cold that you experiences are difficult to explain with certainty, but they could definitely be related to having had too much to drink. The danger of alcohol poisoning is that the person who is severely intoxicated is not in any condition to interpret their own feelings and to make logical decisions about their safety.
I am concerned that you are asking about what to do when you feel that you have had too much to drink. This is because the safe thing to do would be to resolve never to drink to much. Overuse of alcohol is very damaging to the body and can cause permanent damage to vital organs such as the liver, pancreas, and heart. If you feel that you frequently drink to much or if you have a problem with excessive alcohol consumption, then this is a problem that you should seek medical help for.
I strongly recommend that, if you feel that your alcohol consumption is excessive, that you talk to your primary care doctor
about this problem. They will be able to recommend resources to you to help you deal with the problem.