Why do we get so cold when we have a fever? is it true that it's bad to go under the blankets with a fever?

It's okay: It's definitely okay to get under the blankets when you have a fever. Here is a great explanation of why you feel cold... Not enough room here http://www.Hhmi.Org/askascientist/answers/why_do_we_feel_cold_when_we_have_a_fever.Html.

Temp difference: You feel "cold" when you have a fever, because that extra 2-5 degrees internally makes your environment seem much cooler than usual. While shouldn't get chilled, piling on the blankets helps preserve heat (=fever) and can make you somewhat warmer, which may not be good if fever already high.