I am stark naked. On the edge of a northern sea. In the depths of winter. It is, unsurprisingly, freezing. The body of water beside which I am shivering and goose pimpled is the Baltic. Or at least it's where the Baltic ends and merges with the North Sea, on that stretch of grey, flat water bisecting the coasts of Denmark and Sweden: the Oresund. To the north, on the opposite shore, are the battlements of Elsinore, where Hamlet fought with insanity. Here in Malmö , in the south of Sweden, I'm beginning to doubt my own state of mind. What was it about going swimming at this time of year that seemed like a good idea? And in chilly Scandinavia, at that?

I sometimes walk past famous winter-swimming spots at home in London. The ponds on Hampstead Heath, say, patronised year-round by swimmers made of sterner stuff than I. The posted signs at these places are clear about the dangers of entering cold water. Don't even think about swimming in the winter, warn the signs, unless you've been entering the water regularly since temperatures were balmy. Warm up to it, in other words.

The official Cold Water Swimming guidelines issued by the Amateur Swimming Association go further. Swimmers wishing to brave winter waters should first receive a medical examination and then acclimatise as mentioned. Those who don't, and then submerge themselves in temperatures below 12C, are susceptible to "NUMB FREEZING COLD INJURY, HYPOTHERMIA, and SUDDEN IMMERSION SYNDROME". (The risks are capitalised and in bold, just in case there is any doubt.)

The last time I went for a dip outdoors was in Britain last July. But I'm in Malmo now, and my host wants to go to the Kallbadhus. These "cold bath houses" are a Scandinavian tradition and Malmo's Ribersborg beach boasts one of the region's finest. Dating back to 1898, its painted timbers stand proud and anachronistic against a backdrop of the Turning Torso, which juts up from the neighbouring headland. Completed in 2005, the twisted skyscraper is the centrepiece of Malmo's sparkling new Vastra Hamnen (Western Harbour) district, a development of airy, ecologically sound apartments and waterside cafés built over the city's redundant shipyards.

But out by the Kallbadhus is parkland and dusky calm. The bathing house sits offshore. We walk out across the Oresund, and down a wooden pier to where Christmas stars glow invitingly in the windows. The doors from the pier swing open to the scent of coffee and kanelbullar, (cinnamon buns), to glögg and ginger snaps.

The Scandinavian concept of cosiness has long been the key to surviving bleak, dark winters, and the inviting little café in the Kallbadhus epitomises this ideal.

A glass of glögg will be my reward, should I survive. I check the noticeboard by the ticket window. Water temperature: 4C. That's 8C lower than in those risk advisories, for those with short memories. Beyond reception, the sexes split. We step through our nondescript door into a scene from a ghost story. Weatherbeaten decking and rows of empty wooden changing rooms frame a sheltered lagoon of seawater. Beyond the lagoon, to the north, the Kallbadhus is open to the elements; steps lead down over rocks into the wide expanse of the Oresund.

I shiver in my coat. First, to the sauna. This, I hope, will be my immunisation against months of non-preparation. An integral part of the Kallbadhus experience, the saunas at Ribersborg are a cut above the average sweat-box. Large picture windows face out to sea, providing a much more calming view than the blasé nudity of the Swedes. Nakedness is not enforced but is expected; five minutes in and sitting around starkers seems almost comfortable.

Fifteen minutes of heat and it's time. Warmed to the core but still not convinced, I step outside, gingerly, keeping hold of the banister. The impetus to submerge comes when I glance to the left, and realise that the steps from the men's side of the bathing house are within view. Quite detailed view, in fact. I'm naked, the old Swedish bloke over there is naked, and suddenly the water looks far more inviting.

I wouldn't say that I swim, exactly. I keep hold of the banister, gasp audibly, and retreat as fast as my numb stumps of legs will carry me. The next time I go in, I curse my poor body for forgetting, in the shock of the cold, to let go of the rail. But the third and last time, invigorated and alive, I manage actually, properly to swim. Only in a very short circle, and only for a minute or so at most. But it's enough. Not only for the blood in my extremities to retreat and then gush back, bringing with it all the benefits to the immune and muscular system that a plunge in cold water has been shown to provide. But also enough to consider that winter swimming might just be worth the acclimatisation. I just wish that we had a sauna back home.

Traveller's Guide

Getting there

easyJet flies to Copenhagen from both Stansted and Gatwick (easyjet.com). High-speed trains connect Malmö to Copenhagen airport in 20 minutes (00 46 771 77 77 77; skanetrafiken.se) and cost just under £10.

Swimming there

The Ribersborgs Kallbadhus (00 46 40 26 03 66; ribban.com) is usually closed only on Christmas Eve and New Year's Day – although renovations are taking place this January through to late spring. During this period, winter swimmers can use the Ribersborg Handikappbad, just up the beach. Hours are 10am-4pm Mon, Weds and Fri, 10am-7pm Tues and Thurs, and 9am-4pm at the weekends.

Further information

Malmo Tourism (00 46 40 34 12 00; malmo.se)