Celeste, I always have a good warm up and cool down for Henry. As a cyclist/triathlete myself, I know I feel like crap without my warm up and cool down before/after moderate-intense exercise. I also experience a lot of stiffness and soreness later without them.
I know many dogs are inherently in better shape than the average American, and that their cardiovascular fitness/capacity for work is probably better than a typical human, but I still don't think a warm up and cool down would hurt, and it might help.
And for the cold stuff, I wouldn't mess with that either. You can make animals (I'm thinking horses here) really sick by giving them something super cold when they're really hot. I have no medical knowledge behind this, just my papaw's good horse sense. Again, for myself, while I may want a gallon of ice water after a race, if I consume it immediately or too quickly I'm screwed. Hurts like hell, messes with my lactic acid breakdown, all that.