To obtain the "Extra Cold" feature, simply beat the game with Stone Cold Steve Austin. This will give you access to two additional outfits. To pick them, Hold the appropiate shoulder button while choosing him.

L1=Regular Outfit (Black tights)
L2=Alternate Outfit (Tights and 3:16 vest)
R1=Extra Outfit 1 (Jeans and 3:16 vest)
R2=Extra Outfit 2 (Jeans and 3:16 shirt)