How can one build their tolerance to cold weather?

I have always been very tolerant of hot weather. I usually wait till it hits 32 degrees before I turn the air conditioner on, and I have felt fine in 40 degree weather when people around me are on the verge of heat stroke. Occasionally I can be in the mood for cold, and I will drive with the air con on when its already a little cold, just because I’m in the mood for cold. Now here in Australia we don’t get cold anything like most other places in the world. If we want snow, we must go to the mountains. However being winter here, it is getting cold (for us) and I don’t want to use heaters because they get stuffy and can use a lot of power. So how can I build my tolerance of cold?