It has been really cold and dry lately (though it is much better today) and our house is pretty old and not insulated well. So showers are akin to torture. I have developed a system to dry off as quickly as possible that has helped me keep from getting too cold.
First, I have this little synthetic chamois towel (like this or this) that I’ve seen swimmers use. You just wring it out and keep using it. Kinda neat. While the shower is still on, I dry my hair with the sport towel then turn the shower off and dry off the rest of the way with it, trapping the warm air in the shower. Then I get out and finish drying with a regular towel. Much less of a shock to the system.