My character was dark blue "Drenched" for quite a while whilst I tried finding a waterproof jacket (I was pressing the tab key every 20 seconds or so to check my status messages).
Upon entering a house I pressed the tab key to bring up the inventory (to see what was in my vicinity) and I noticed that "Drenched" immediately changed to "Hypothermia" and straight away I began getting constant "I am hypothermic" messages in the bottom left corner of the screen.
Shortly after I created a fire and sat by it to warm up and dry off (I had previously emptied my clothing and wrung out all possible clothes) - I noticed that "Drenched" changed to "Soaked" and then to "Wet", etc so I could tell I was drying off.
However, I was still continually getting the "I am hypothermic" message and then a few moments later the screen went black and I was dead.
Prior to seeing the dark red "Hypothermic" status message I did not see any "I am cold", or "I am shaking" type messages.
It was brutal and I enjoyed the panic so if this is how it should work then good job (it certainly got my real-life pulse racing!) :O)