I use mine at room temp but the best way to change the temp if cold or hot water from the tap. Everyone will have different suggestions but those are mine. If you read reviews on glass there are ideas discussed on how to heat and cool your glass pieces.
DO NOT freeze,microwave or boil the toy though, freezing it can cause it to get stuck to your body parts like tongue frozen to pole OUCH. Microwaving and boiling the toy can get it way too hot cause you to burn yourself or your partner. Also using the boiling or microwave can heat your glass unevenly, meaning you will think the one part is perfectly fine when the other part won't be. Hope this helps.
Put it in water (the water equalizes the temperature so you don't have hot spots) and make sure that the water is at a comfortable temperature. Test it out on your wrist like you would for a baby's bottle.
For cold you can put ice in the water if you want. Just use a couple of cubes and let the temperature equalize a bit. Don't put your toy in the freezer because it can get cold enough to freeze bits of your anatomy.
I agree with the others; immersing the room-temperature toy in water of the desired temperature for a few minutes should do it.
I wonder if anyone's tried having a couple of different toys at different temperatures and switching off.