Yes, This is used for a single item near you. This is my house and that is their house
These - is used for multiple items near you. These cuts on my hand and
is used for multiple items far away. Those birds in the sky.
The difference is an indefinite feeling. "This" is used for something that feels relatively close, "that" for something that feels relatively farther away.
Let's say you are in an amusement park. You are standing in front of the Ferris wheel, and a hundred meters away there is a roller coast. "Would you like to ride this ride or that ride?" The Ferris wheel is "this" ride, the roller-coast is that ride."
In your example, "this is cool!" probably refers to something you are doing right now, or something you see right now. "That's cool!" probably refers to a piece of good news a friend has told you; it isn't here right now, so it feels distant and you say "that."