You don't have to touch the walls, but "It's cold in here" would translate to "Det är kallt här inne". The difference between that something feels cold or something is cold is subjective. (Well, it is subjective at what temperature it is cold as well, but when you state that it is cold you kind of imply that you have made a measurement, and not just put in your hand.)
Normally I look up new words on Wiktionary, but with this lesson I'm at a loss! For example, känns leads to känna: https://en.wiktionary.org/wiki/k%C3%A4nna but it doesn't look different than any other verb to me. How do I know that I need to use this deponent form, do I need to consult a more thorough dictionary?
The infinitive is kännas but English Wiktionary only lists that as a passive verb (https://en.wiktionary.org/wiki/k%C3%A4nnas) which is possible in theory but it's very rarely used that way. The standard word list SAOL (available as a free app for smartphones: your best bet to see the forms of words, but doesn't provide the meanings) only lists it as a deponent verb.
You can tell it's a deponent verb because it ends in -s but still isn't passive (you couldn't say something like 'the room is being felt cold by me').
I wrote an explanation about the difference between känna, känns, and mår only yesterday that I think can be useful, I'll paste it in here:
känns is about how something feels to someone else. Like, Rummet känns kallt 'the room feels cold' – the room itself isn't feeling anything, someone else is.
känner sig is used about how someone feels
mår is about well-being on a scale from good to bad.
Det känns bra 'It feels good' (i.e. something feels good to someone)
Jag känner mig trött 'I feel tired'
Jag mår bra 'I feel fine'
Practice by putting the tip of your tongue at the top front of your mouth and "flap" it, kind of like your pretending to be freezing cold...brrr.... Learned it from one of the the authors of, "From English To Swedish". The books are exceptional and you can find help on there YouTube channel.