You're jumping to quite a few conclusions and asking a lot of questions which simply contradict one another.
Is it even feasible that life could survive on a planet with extremely cold temperatures and little sunlight?
Yes. No problem. We have microscopic life on Earth which survives in vacuum, on the ocean floor, in the arctic, etc. (the same species).
If so what special considerations should I make for how the aliens look and function?
This is purely opinion based. No one could tell you how such an alien would look, because we have never met such aliens.
Assuming that intelligent life developed on this planet ...
Hold on a second. There's a pretty big difference between "life" and "intelligent life". And while we're at it, chimps are pretty intelligent - just, you know, not as intelligent as us. And we certainly can't build a space ship that would carry us (alive) to the edge of the solar system and back.
...what motivations would these aliens have to move to planets that are closer to the sun?
Again, this is blind speculation - you've given us nothing to go on other than that they're "out there" and want to "come hither". Since we don't know what kind of world they might live on, what they survive or thrive on, or what their cultural or economic needs might be how could we answer this?
Since they're adapted to survive in extreme cold, they would overheat as they get closer ...?
If they're smart enough to build space ships out of the "scraps" available on the edges of our solar system then they'll be more than able to deal with the heat from the Sun.
They might also be blinded by the additional light they would see if they have optical eyes like ours.
"Additional light"? "Optical eyes"? See above.
There would have to be some compelling reason for them to get close to the sun and risk being blinded and boiled alive.
Yes, there would be, if they were that stupid. But they can build space ships more advanced than ours while having significantly less to go on than we do, so they probably aren't stupid at all.
You're asking for idea generation while providing little to no direction, or parameters. Please rethink your post.