Did you forget to put your clothes and your towel in a plastic bag when you stood there half naked before jumping in? Then you now have icicle clothing and have to run all the way back to the cabin in your swimsuit (not recommended). Getting out of the water is hell and if you take too long and try to dry yourself you will end up with a body armor of ice. Best thing is to have a Helly-Hansen suit ready so you can be dressed in 5 seconds. Lying in the hot spring in the night watching the Northern lights and the stars is quiet amazing.
It's also popular to rent a cabin in Iceland and they usually all come with a hot tub on the veranda with a northern light view.