A lot of the professional help I got with panic attacks centered on controlling breathing and visualization (similar to Lamaze, I thought...only more intensive). I even used a biofeedback machine to see visibly how I was controlling my breathing and heart rate. I found that really helpful, for some reason.
The "cold" thing makes mine worse(I tried that and UGH, no)...I got better if I got into a hot tub of water or shower when having an attack. I get very cold feeling when I have a panic attack anyway, although some people feel very hot and flushed, I know. I have a friend who lies on a cold tile floor in the bathroom and it helps her.
When I have an attack, the first symptom I have is all the blood draining from my extremities and an extreme tingling from lack of circulation to my hands and feet, which turn ice cold. I guess that's why hot water helps, and I also find it relaxing.
I guess everyone is a little different. Drinking water helps me too. I was told that's because swallowing forces you to relax some of your muscles.
I keep a few tablets of Xanax around which I also use when I feel an attack coming on Rx'd by my doctor. It short circuits it to take one. I only use it then, if you take it all the time, it becomes ineffective as a temporary anxiety reliever and there is an addiction risk if abused.
I've had panic attacks since I can remember, they started when I was a child. My doctors have told me it's somewhat organic..it's gotten worse with hormonal changes (it was very bad when I was pregnant) and when I'm more asthmatic. Being short of breath is panic inducing for me, for one thing. Vicious circle.
It's always good to rule out any underlying organic causes for panic attacks. A friend of mine found out she had hyperthyroidism which was contributing to hers.