When discussing spicy food, (chili-pepper based) the increase of burning sensation perception is proportional to the food's temperature.

Does heat affect spiciness?

For some spices, the aromatic compounds are released by some heat, but are not destroyed. Thus their effect is heightened. For other compounds, even a small amount of heat will destroy them and thus reduce their effect - see Mischa's comment.

Is spicy food less spicy when cold?

That means that when a food is spicy and hot, you feel both types of heat using the same sense! When the food has cooled and you're not feeling the heat (temperature) any more, it no longer adds to the feeling of spicyness.