So, of course, the obvious place to go in December, when it's cold and dark and miserable and there's a bitter chill that creeps into your bones and makes you long for alcohol, or a timeshare in Malaga, or sudden death, is somewhere even colder and darker and more miserable. Or, to put it another way, Finland.
Because it really is quite cold when we touch down at Helsinki airport. And dark. And although, for a touch of authenticity, I have brought along my half-Scandinavian friend Anna (her mother is Swedish), she seems a little out of touch.
"How much?" she says when we look at the price list in a bar near our hotel. And pulls the first of many examples of what I come to think of as Nordic-bar-shock face.
But then I've never been much good at selecting season-appropriate destinations. (I once went to Uzbekistan in winter with only a fake puffa jacket from New Look to ward off the minus-20 temperatures. A tip: it didn't.) In this instance, however, it's deliberate. Because my theory is that it's not winter that's the problem in Britain; it's Britain that's the problem in winter.
We simply don't know how to do winter. We sell fake puffa jackets filled with nothing more than a thin layer of cotton wool and fresh air. We still, as a nation, seem to believe that turning up the thermostat is some sort of moral failing. And, most crucially, we don't grasp the basic principles of warming the human body. Or how life-affirming and spirit-lifting it is, in the dead of winter, to be very, very hot. And then cold. And then very, very hot again.
Whereas in proper cold countries, they do. And they don't get much colder than Finland, hunkered as it is next to the Russian border and stretching up to and beyond the Arctic Circle. And Finland just happens to be the home of the sauna. Other nations do saunas, but not like the Finns. They believe they invented them, or at the very least perfected them. And, in Finland, having a sauna really isn't so much a leisure pastime as a mystical source of national pride.
I love saunas. My own winter survival strategy includes regular visits to the 1920s Porchester Spa in west London (020-7792 3980, gll.org/centre/porchester-centre.asp). Anna, on the other hand, although she has a passion for both Ikea and Christmas, is something of a sub-standard Swede: she's a committed sauna sceptic.
"Don't you get all hot and sweaty?" she says, and I start to worry that I may have under-explained the purpose of the trip.
Ritva, our sauna guide, plucked from retirement by the tourist office to show us the ropes, is reassuring, however. Her golden sauna rules are: only ever stay in as long as you want. And remember to shut the door. Oh yes, and strip naked. She used to work in London so she's got a handle on our namby-pamby Anglo Saxon ways.
"We do not wear swimsuits," she says unequivocally. Though the Finns are more prudish than most Europeans. Public bathing is always single sex. "Not like the Germans," she says, with a shudder.
Finns used to claim that there were more saunas in their country than cars. "But that is exaggerating a little bit these days," says Ritva, though there are still at least 1.3m saunas in a nation of 5.4 million people. Until recently, women gave birth in them, and dead bodies were washed in them. But while there used to be more than 100 public saunas in Helsinki, one on almost every corner, they're gradually disappearing, with just a few old-time survivors. Ritva, however, is taking us to the great sauna mothership: a complex of five traditional saunas run by the Finnish Sauna Society (sauna.fi/inenglish.html).
Forget prancing around in a white towelling robe. This is wellbeing as practised for centuries, and it's a serious business. The debate over the temperature of the hottest sauna, Ritva tells us, has raged for several decades.
The sauna complex is just a 20-minute bus ride from the centre of Helsinki, but it's in a beautiful, bucolic setting, occupying a series of wooden huts in a pine forest next to the Baltic Sea. And although it's only 3pm, by the time we've entered the first sauna, dusk is falling. There are two high rectangular windows with views out on to the black and silver Baltic, a smell of woodsmoke hangs in the air, and in the corner a large oven is throwing out heat. It's a smoke sauna, Ritva explains, a purely Finnish experience, and believed by most Finns to be the true Finnish sauna.
It's not smoky when you're in there though: a chimney-less oven is heated for around five hours, water is thrown on the stones to settle the soot, then after a couple of hours more water is thrown on to clear the air, then the room is cleaned. Only then is it ready for use. Dimly lit and made of dark wood, it is less like the kind of sauna you get in gyms in Britain, and more like the kind of barn you can imagine the baby Jesus being born in.
It's also hot. Very hot. Though the löyly, or steam, is softer and more gentle than I've ever experienced. Anna manages about a minute and a half but I tough it out with Ritva, and then we wrap our towels around us and step out into the chill Helsinki air.
We'd been properly freezing not 10 minutes earlier. The walk from the bus stop had been through driving sleet and a bitter wind, but now our skin is pink, and our bodies are warm. And when Ritva proposes a dip in the Baltic, we agree. "Though sadly it isn't frozen yet," she says.
Oh yes, what a shame that is.
"It's still 4C," she says, peering at a notice. "Quite warm."
A toasty four degrees above freezing – although the wind is up, and there are waves, and spray, and slippery steps. But we launch ourselves in. Even Anna. Much to her own surprise. It's brisk, but in a glad-to-be-alive sort of way, rather than a my-toes-may-require-amputation-due-to frostbite sort of way. And then we do it all over again, this time slapping ourselves with the vihta, or birch leaves.
The smell of sap fills the air, but it feels surprisingly good – tingly and circulation-boosting, rather than sado-masochistic. (Ritva, it should be noted, has stressed that saunas are very definitely NOT about sex. "Some Finns have made terrible mistakes when they come to your country.")
Then after another smoke sauna, and a cooler wood sauna, Ritva leads us into the relaxation room. It's a heavenly place, with an open fire on a circular hearth in the middle of the room, a view of the sea, and various elderly women behind a hatch serving delicious home-baked produce.
"There are a lot of health benefits associated with saunas, aren't there?" I ask Ritva. "Well, yes, they say so. The Americans and other people. Us Finns don't care. We just think it feels good."
It does. It feels wonderful. Relaxing and invigorating at the same time. What's more, there's something about wandering around stark naked, apart from a pair of plastic sandals on your feet, and a Smurf-like felt hat on your head (it protects your hair and stops your head overheating) that feels very equalising. There are women of all sizes and all ages and it's a happy, chatty atmosphere.
As George Bush says (there's a letter from him on the wall of the relaxation room), "The true sauna will be in my memory until I die. What an experience."
It is. And it also feels like a genuinely authentic cultural one. Finland's not got much to call its own: for most of its history, it's been part of either Sweden or Russia. And although we've been in Finland less than 24 hours, and have, as yet, seen no sights, we feel immersed in Finnishness.
We do manage some sight-seeing: Alvar Aalto's Finlandia Hall, the cathedral, and the Arabia factory. The latter is, besides the sauna, the other plank of modern Finnish identity: with Marimekko, and Iittala (owned by the same company as Arabia), the company has been at the forefront of contemporary Finnish design, and the source for much of what we now know as Nordic cool. It also played a major role in Helsinki winning the title of World Design Capital for 2012.
The area around the factory – which is a striking 19th-century building where the products are still made – is now an art village. And there's a museum on the top floor, and, excitingly, a discount outlet on the ground floor. Arabia employs artists to do a mixture of their own work – one-off pieces for museum shows – as well as prototypes for production, and we see where Kim Simonsson – whose work is in the Saatchi gallery and the V&A – makes his strange alien creatures and pony-tailed girls.
What we really want, though, is to be warm again and we head to Sauna Arla, one of the few old-fashioned public saunas left in the city, in the corner of an apartment block courtyard in Kallio, Helsinki's answer to Dalston. There are artists' studios upstairs, and an increasingly hip clientele.
Anu, a journalist we meet there, says that after years of falling out of favour, public saunas are becoming fashionable again: "People have them in their apartments, but it's becoming really popular as a social thing again."
There's even a new public sauna being planned by the architect Tuomas Toivonen and his Japanese designer wife Nene Tsuboi, who were inspired by a quote they'd found from Alvar Aalto, the national hero of Finnish design. Back in 1925, he proposed a "Cultural Sauna" as "a national monument, the first of its kind" and 80-odd years on, Toivonen and Tsuboi are trying to make it happen.
Warmed up, we attempt the Christmas market in the lovely neo-classical surroundings of Senate Square. It's where old ladies sell handmade decorations and smoked reindeer meat, but the rain has come back and the wind is bitter, and really it only seems sensible that we beat a retreat to the Yrjönkatu swimming pool (hel2.fi/liv/eng/yrjonkatu.html).
It's a 1920s affair, the oldest in Finland, beautifully colonnaded and tiled, with men and women on separate days. Here – it's a bit weird at first – you swim in the nude (skinny dipping is one thing, but here you plough up and down the lanes starkers apart from your goggles). Upstairs, there are saunas, and private cubicles with day beds where you can recover from your exertions, and little tables overlooking the pool, where a waitress will bring drinks and snacks, including champagne (though you'll need to get over your Nordic-bar-shock-face – it's €75 a bottle). Still, it's delightfully old-fashioned, spotlessly clean, and at €11 for as long as you want, one of the best bargains in the city.
Even Anna, the sub-standard Swede, has been converted. "Imagine if you could do this every week," she sighs.
According to Ritva, there's a Finnish saying: "There's no such thing as bad weather, only bad clothing." And, if you're British, a lack of somewhere really toasty to warm yourself up.
