Though seemingly a pointless skill, it's a survival instinct and something useful to know. It is only taught at Exillium, even though some elves feel that they need to learn it even if they weren't banished; for example, Kesler taught Dex. Keefe also taught Sophie when she was stuck in the Healing Center.
The trick to regulating body temperature is to letting one's brain amplify small amounts of the desired temperature. Concentrating and thinking thoughts of the desired temperature makes one's mind switch to the temperature, according to Keefe. Holding onto the feeling is hard, but with practice, the skill will likely become second nature.
Alvar used this skill when he was in a room filled with Fintan's fire to keep himself from burning to death. He also used this when he was trapped in a Trollish Hive on Everglen's property in Flashback.