Heating youself in cold conditions is quite easy. You can produce internal heat and keep it in(warm-blooded) or get it from sun, find hot springs... or even eat something warmer than you. However, it is not so easy with too much heat...
For my alien world, I imagined a species of crustacean, not too different compared with crabs, with one few little changes. First of all, their inside is always around 35 degrees Centigrade, a little colder than normal human. This makes them warm-blooded - quite an evolutionary jump! A jump is even more pronounced, because they live in hot springs near the volcanoes, in nearly-boiling water. I guess anything can live in such place, just not too long, but this little guy actually survives by cooling himself.
I don't want them to leave water. I imagined themselves to be equipped with biological heat pump, which allows my fire crabs to keep cool in scalding hot water. I just have some problems with making it realistic enough. The animal is not intelligent, so cooling is not artificial, it is part of biology of it.I thought that maybe they are using heat for synthesis of some complicated chemicals, which is then ejected outside, but I'm not sure if it is even possible.
I have no problem with outside of crustacean being hot, but inside must stay cold(ish). No magic, pure science. I guess this question is too unrealistic for hard-science, but science-based is a must.