What process creates heat in our body

If you're underweight, gaining a little weight will help as well. Increase your fat consumption. I know, fat has a bad reputation, but the body NEEDS fat. Use Olive oil - it is a 'friendly fat'.

The Cayenne pepper will definitely help with circulation and your feeling of 'warm'.

Cayenne pepper is actually used as a feed additive for chickens, horses and other livestock in the winter as well!

It is very common for those who are underweight and/or on low calorie diets to feel "chilled". In this situation the body needs to conserve its energy for organ function instead of using those precious calories for thermoregulation of the skin and extremities. Obviously more body fat means more insulation, but it probably also means more available calories for bodily functions like thermoregulation.

You might try increasing your calories by 100-300 per day and see if that improves the situation.