The main thing is you don't get a cold from the cold, and the cold won't make it worse unless you don't dress warm enough and your body has to use energy to stay warm.
When I used to get colds I'd go for a run, even in the winter. Sometimes the good sleep I have after working out is maybe the best thing for a cold?!?
Yeah, board through it... Now a flu is another thing, I've been boarding when I had to run to the washroom after each run, not fun!