When you say "tengo frío" it means I'm cold. The word "tengo" has many meanings, in this case are feelings. "Tengo hambre" = Im hungry. When you say "estoy frio" is because you are physically cold, your skin specifically. Only Put atention because "tengo" means "to have" too. Luck with your Spanish.

I'm not sure what you mean exactly but maybe when someone says "estoy frío" it means that this person needs start to warm up before exercising. And "tengo frío" means that you feel cold because is winter for example. I hope that it can help you, and sorry for my english, I am learning.

Sorry for the mistype!