We've all been through it. After a long ride in the Winter chill we stop at a pub and warm our hands by the roaring fire, or rub our hands together like we're trying to light kindling with a piece of dowel, and sometimes the result is that your hands start to ache but you're still shivering cold.
The problem is that your hands and feet are very effective at removing heat to cool you down, but when your body thinks it is getting too cold it shuts down circulation to your extremities, and it wont start it up again until it thinks your core is warm again.
It's like trying to warm your car engine up by applying heat to the radiator when the thermostat is seized shut. It will eventually help but its quicker to start up the motor.
Keeping your body warm in the first place is always best of approach. Winter jackets and pants, thicker socks, decent gloves and boots, and even a neck sock (if youre not blessed with a bushy beard) will all help keep your core body temperature up and your blood circulating to all your important bits.
The following article sheds some light on the issue, and supports the simple theory that when you are very cold you need to warm your body, not your hands.