I've had this problem a couple of times, but only because I forgot to wear my bike shorts underneath my capilene long johns and outer pants. That Brookes saddle sure is seductive, until three miles into the ride, your butt's fine but the front door is in pain.... The padding of the bike shorts seems to make all the difference for me in terms of keeping it warm. I wonder if a jock strap might do something similar? You might even get one of those they put the cups in (for contact sports) and fill it with a swatch of polar fleece!