There is some truth in the matter as it is your brain that tells you how you feel, i find it very odd that people dying of hypothermia feel very hot in the last stages and often remove their clothes. Strange thing the brain especially if you introduce external substances like drugs of any kind.
Never underestimate it. In the medical world it is a generally accepted fact that negative thoughts and anxiety can make us ill. Stress – the belief that we are at risk – triggers physiological pathways such as the “fight-or-flight” response, which has evolved to remove us from danger. If it is switched on for long periods (in people who constantly worry about life for instance) it can make you more susceptible to illnesses such as diabetes and dementia.
What researchers are now realising is that positive thinking doesn't just work by reducing stress. It can have a positive effect in itself – feeling safe, and believing that things will always turn out fine in the end seems to help the body maintain and repair itself. If you are a 'glass half full' person you are likely to live longer, and suffer less from illnesses.