Is it bad to feel cold senation in my head & burning sometimes?

Don't know: It depends on where you feel it, it could be an early shingles infection or a pinch nerve or dental problem. To get a better idea would have to know how long, when it started, other medical problems and was there any history of trauma, my guess is whatever the issue it is it is not serious to warrant immediate medical attention however you should see a physician as soon as you can.