"Ich glaube, ich bin kalt."
The full form is "Ich glaube, dass ich kalt bin". "Dass" requires the special word order of the subordinate clause, so "bin" goes to the end of the clause.
The short colloquial form is without "dass" and also with a normal word order: Ich glaube, ich kalt bin.
By the way, as far as I know, "ich bin kalt" means "I am cold" not in the sense of "I am freezing", but rather "I am frigid" or "I am distant". To tell that you are freezing, you'll have to say "Mir ist kalt" in German.
Let the native speakers correct me if I'm wrong.