Honestly, your premise is flawed as was pointed out in comments and the other answer. What you're describing is less thermokinesis. While I made a comment breaking down the issue with how you seem to be using thermokinesis, I'll include some of it in this as well.
First: Thermokinesis is temperature manipulation. Usually it's a primer ability before giving a character pyro/cryokinesis. In some cases, it's the only power a person has, but is then commented as being useless in battle, even if it's amazing for domestic uses. (Drying clothes, keeping food/drinks warm/cool, killing off viruses to keep from getting sick, etc.) It rarely comes with those extras you listed, but if it does, they're treated as separate powers to avoid confusion: aerokinesis, hydrokinesis, and geokinesis. That said, I'll explain how you COULD make it work in those regards while still being thermokinesis, but it'd be extremely limited.
Aerokinesis: You could change the temperature of the air causing it to heat up or cool down. This would allow basic weather-manipulation like with Nami's climatack from One Piece. Again, it'd be very, VERY basic at best. You couldn't expect the type of control Nami's weapon has unless you take liberties with science... which wouldn't be unusual seeing as this is a magic system anyways. You could heat up parts of the ground to cause heat to rise creating weak updrafts. This wouldn't be useful aside from flying a paper airplane, but you could still do it. That said, wherever you're heating the ground, it'd likely have to be heated to such a point that it would burn to walk across. If you have a limitation of needing to touch the object, it'd likely get too hot for your hero to handle without injury. You couldn't cause the opposite reaction to occur by doing that, though. You'd have to seriously cool the air higher in the sky without cooling the surrounding air, and that wouldn't make sense for pure thermokinesis.
Hydrokinesis: You could heat the water to the point it boils and steams or you could cool the water to the point it freezes. You could even cool the moisture in the air that it condenses and precipitates. You wouldn't be able to control it beyond that. You couldn't shape water. You couldn't create water shields. All you'd be able to do is take what you have and use it how it wants to act naturally. The closest exception to this would be if you had a creature like a slime with a high regeneration factor and used it as a meat shield by having it jump in front of attacks for you, but it'd shatter with enough force put into it. Furthermore, that slime will die if it takes too much damage or if its core breaks, so you'd be forced to take care of it if you want it to serve you well. You cannot make water freely more dense, though. It would just become ice from having its temperature dropped past 32F (0C). Since you're not hydrokinetic, you couldn't freely change its shape either, so you can't do more than maybe use the frozen water as a temporary running hazard.
Geokinesis: Quite simply, you can't. You may be able to heat up the earth to cause an updraft from the heat. Maybe you could heat it up enough it turns to magma for a short period. You could even freeze it, not that it would help you any to do so aside from killing some plants. It would just go back to normal very shortly after, and it'd likely take more mana/energy than it'd be worth. Doing this to the earth serves no purpose other than being a mana sink, unless you're a gardener/farmer/glassblower/potter.
As for your question in regard to surviving the temperature changes if you were to do them to yourself... No. You cannot survive that. The human body requires a unique homeostasis to function right. You have to stay in a certain range of temperatures or you will die. Freeze your face to make it more dense? Okay, "your face shatters because it's too rigid and thin to endure the punch" at best; "your face shatters because its temperature dropped to such a low value suddenly and it couldn't endure the sharp change" at worse. You would be literally flash-freezing your face in a comparatively much warmer environment. Cracks would form in your face just like in that plan. Same if you did it with your belly, except now a) your intestines are now shattered, b) your belly shattered open and your intestines are hanging out, or c) because you did that, they couldn't punch through your body, but now your insides are destroyed because the cells would have basically just exploded. (That said, this can work to your advantage if you use it AGAINST the opponent, but this kind of power tends to require physical contact and usually changes the temperature more based on duration of hold. You can ignore that, but that makes the power effectively cryokinesis at that point.)
As I said earlier: Thermokinesis is a generally worthless power for in battle. Give your character either the more common pyrokinesis or less common but still known cryokinesis if you want him to have more combat-based usefulness for his abilities. Otherwise, this character would be functionally powerless in a fight, having to rely on raw fighting ability, knowledge/wisdom, and ability to deescalate a situation if he wants to win, which can work out quite well if you know how to handle physically weaker protagonists.