Youre clamping too tight. Three weights, I'm guessing only weighs around 1.5lbs at most...right? You tell me cuz, I dont know. Experiment with different amounts of wrap and/or tightness of the clamp. I only need to snap my clamp down a few clicks. Because youre using such a low amount of weight, you only need to have the clamp snug enough to keep it and that weight on.
I go cold as well at the clamped area, though it doesn't bother me enough that it actually hurts, so I just make sure I go to the bathroom atleast once an hour to unclamp it and flow some new blood into it...other than that...its just hiding it in my jeans.