Rachael, James has the same reaction to being taken out of the bath (although Ive never thought of the cold...). I always try to distract him by bouncing him along to his room and singing (he loves the rough stuff!) playing peepo with his hooded towel, dressing him on our bed (change of scenery!) or taking one his bath toys along so he keeps playing. Doesnt always work......

good luck!
Georgie