I feel for you! My theory is that cold water closes your pores and keeps the splinters from going in further. I'm also usually hot and sweaty after sanding and a cold shower feels good. Let us know what you figure out. This is a very important subject.
Hopkins-Carter Marine Supplies & Fishing Tackle What You Need, at the Price You Want...with Service!
First cold, then hot. Definitely. I speak from long experience of grinding carbon fiber, which is much itchier than regular glass. If it really bothers you do what I do and use barrier cream. Slather it on in the morning and you're good for a no itch day. Probably overkill for someone who doesn't roll around in glass dust all day like I do though...