When a person is very hot, he should not hurry to cool off his body in a sudden matter, but is rather to do so gradually. Thus, one should not drink cold water upon leaving a bathhouse and is certainly not to drink in the bathhouse. If one is very thirsty upon leaving the bathhouse and cannot hold himself back from drinking water, then he should mix wine or honey into the water and then drink it.^[2]

[1] Rambam Deios 4; Shemiras Hanefesh 306; Kaf Hachaim 116:205

[2] Rambam Deios 4:17; Kaf Hachaim 116:205