I spend a lot of time in Finland, where we go from boiling hot sauna to jumping in the snow (Or breaking the ice and jumping into the nearest lake!) I would say that if you find the cold part worrisome, your sauna isn't hot enough. We usually have it cranked up to around 100C, the first round is a bit shocking, but after that it really feels amazing. But I have noticed people doing the sauna at a much lower temperature and keeping the cold part the same, which isn't going to be nearly as pleasant. If you get a chance try it with a properly hot sauna, and when you get to the cold part, it is going to feel so wonderful you won't think about it being too cold.
100C and you still live? hmmm haven't thought about effects of the temperature gradient. i wonder if such high temperature gradient would trigger some sort of internal defensive mechanism inside the body. anyway, lots of Finn and Norwegian in Minnesota. damn viking! what with plunder and pillage and partying and carousing! i missed home!