It's pretty difficult to do, without warming up the temperature.
Intriguingly, I was talking to a Director friend about this recently, and he showed me a clip from a recent film he shot. It was a cold day, but it was meant to be in the middle of summer. He put a cigarette in the actor's mouth, and though we never see him light it, or really smoke it all that convincingly, it had me fooled on the first watch (before he explained what was going on)