Is this sentence correct?

Ich mache mir warme Gedanken, weil es ist grad kalt hier. 

I think it is OK, something like "I am thinking warm thoughts as it is cold here right now."

@sfpugh, Danke!

You are welcome, I did check with a native speaker and as an aside if you say "Ich mache mir warme Gedanken" without referring to the cold, it could mean sexual thoughts. It could be used about someone you fancy. :-)

For lack of one phrase part, so much could be misinterpreted. One of the many things to be aware of when speaking a new language.