The point of temperature play is to provoke arousal by using the skin's neuroreceptors. Stimulation through heat or cold gives the body a rush of sensations that, during foreplay, is translated into arousal. Temperature play is especially fun when hot and cold are combined together in unpredictable patterns (for the receiver).
Typical (and safe) temperature play techniques involve ice, melted wax, metal that has been chilled or warmed, and hot or cold food. Fire play demands more experience and practice because of its risks.
Recently, advances in technology have allowed sex toys to easily produce heated and cooled sensations on demand. While heating functionality is more common in sex toys, the Deia Hot N Cold swaps between both temperature options.
Learn more about temperature play: