@fify-- You actually don't have to go from super hot water to super cold. You could do this in the shower and cool down (or heat up) the water slowly. It'll let your skin adjust to the temperature difference and won't cause pain. And you still get the benefits of increased circulation and faster healing.
You could even do this with hot and cold compresses by switching between them. I've done that a couple of times too, especially for inflammation. All you need is ice and a hot water compress or bottle. Just make sure that you don't put the ice or the compress directly on the skin. Put a thin towel or cloth in between.