a few years ago I had a unit that was (sorta) like that cold heat thing. in short, it sucked. they should have just called it 'cold luke warm'
I'm a big fan of the butane type, the one I've had for 10 years is a 'pyro-pen' came with a few very nice tips including a heat-shrink attachment. the only real drawback is that it's noisy, but at least I'm less likely to leave it on.
it's small, light, easy to hold, has a great cap you can pop on even when it's still hot.
best thing is that it'll handle small and large jobs, heats up very quick, and for ten years has been without problems with medium to heavy use.
you will need to keep a can of butane gas around.

hth.