Hey,
I've lost almost two stone since January, which I'm happy about, thought I still am about 3 stone off my goal weight. Even when very overweight, I've always felt cold. On night's out in the past friends have commented on how freezing I am and if I'm cuddling my partner he often has to stop touching me as it's freezing him to the bone. I have the shower on super hot, it would burn most people, but for me it's blissful. 
The weather is not too nice at the moment, but still not freezing. Yet I'm sitting here, winter jumper and socks on, heating on full blast, hot water bottle and blanket!
I've thyroid checked loads of times over the years. I used to be anemic but have been fine for ages, though haven't been checked in over a year.
Does anyone else get this when dieting? Any other causes likely?