Anna - yes it is a shock to quickly swtich from very warm water to cold and back again, its a good sign that you get this sizzling sensation, it shows that the circulation is happening. But please ALWAYS MAKE SURE YOU USE A BATH THERMOMETER to make sure you dont burn yourself. These hot/cold baths boost circulation.
Re socks, I once had a slow healing ulcer, was the bad old days of poorly controlled diabetes, it healed up eventually, but since then I have been very, very, VERY careful where my trotters are concerned.
Softest of socks are a must, and I use Body Shops Body Butters to massage at night. Socks you can buy from here
http://perilla.co.uk/collections/women-socks/everyday, the country socks are looped inside, they are really quite unique and I have never seen them anywhere else before.
The foil, yes, it provides excellent insulation, the sock sandwich, in Scandinavian countries and Canada they know a thing or two about keeping warm in sub zero temperatures, coats, ski suits, gloves, hats often have a very thin layer of foil or silver sewn in between the lining and the outer shell of the garment. Always buy winter clothes and boots a size bigger than you normally wear, this allows for loose layers to be worn underneath, the air between the loose layers becomes trapped and its this that keeps you warm. Try out the sandwich sock, nobody will be able to tell, a thin pair of socks, then cover totally in foil, slip over another pair of socks and then pujt on your boots or slippers and you will see your feet will be warm all the time.
Let me know how you get on