I get hives on my thighs/sometimes arms when I'm in cold weather and then go into warmth. Should I carry an epipen (epinephrine)? See a doctor? Life threatening??

Likely not. Unless you also have problem when swimming in cool water, this is not a life-threatening issue. Although most cases of cholinergic urticaria is related to cooling following an increase in core body temperature, cold -induced cholinergic urticaria has been reported although it must be quite rare. Try taking an antihistamine 1-2 hrs prior to exposure to cold weather and see if this helps.