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(1). Why does having cold hands create a painful sensation?
Is it a physical effect, maybe a protection mechanism from evolution?
(2). Why, if one's hands are cold, does it feel as if they are more susceptible to pain?
Note: I have (2) as a separate question because the painful sensation in (1) refers to that from the coldness, whereas in (2), I mean that certain 'ordinary tasks' would feel painful, for example, holding a shopping bag.
For question 1 it's just a biochemical response from thermoreceptor nerves in the skin, temperatures that are likely to cause lasting damage from prolonged exposure cause a neurological response - in this case it's pain.
In address to question 2 it is most likely down to the physiological response of vasoconstriction.
When the body is cold the body undergoes constriction of the blood vessels in the extremities to preserve core temperature where it is more essential for the proper functioning of vital organs. By constricting blood flow to the extremities (in this case the hands) there is less volume of blood present, because of this nerves present in the hand are closer to the surface and thus more sensitive to pain.
It doesn't matter if its hand or any other human body organ, cold would hurt, the reason being that we humans being warm blooded animal require an optimal temperature-pressure balance to be maintained for our nervous system to work in its natural order.
So when we have, in your case, cold hands its like a thermal shock to our hand as the above mentioned functional optimality is hampered, and just similar to a hot ceramic cracking due to cold water poured on it, our hand(would not crack, however might in extreme cases) reacts to this with the sensation termed as Pain.
This is a common answer to your questions, cold is directly proportional to pain being felt during our daily engagements(like holding a bag).
Pressure plays a vital role in this too as when your hand is cold the pressure exerted to the epidermis is at a reduced rate, which is another reason for the same.
Hence commonly my conclusion would be the Temperature-Pressure Factor.
It has to do with the way that body parts are more rigid when it is cold. This makes them less flexible and more prone to superficial injury… even without frost nip setting in. In the event that actual frost nip set in, this would be even more sensitive, as you have tiny crystals beginning to form in your cells, like little shards of glass… and, smacking them, rubbing them, or scraping them would be like SMACKING, RUBBING, or SCRAPING your neutral temperature hand against shards of glass.
When it is cold, your nerves are very sensitive to the temperature, as it isn't numb yet, and still… blood flow is slowed down tremendously. In fact, your body has begun "vaso-constricting" all blood flow away from your extremities, resulting in nerves being pressed upon by the less supple skin and vascular tissues.