Formal:
* Tengo frío. (This is the most common and neutral way to say it.)
Informal:
* Tengo frío. (This is also acceptable in informal situations.)
* Hago frío. (This is more colloquial and literally means "I do cold," but it's perfectly understandable.)
* Estoy frío/a. (This literally means "I am cold," and it emphasizes the feeling of being cold.)
You can also add more detail, for example:
* Tengo mucho frío. (I am very cold.)
* Tengo frío en las manos. (I am cold in my hands.)
* Estoy congelado/a. (I am frozen.)
The best option will depend on the specific situation and your level of comfort with different levels of formality.