Complete the main story until you unlock access to the relevant late-game missions and research systems
Open the Research menu and check the Material/Component requirements for Cold Heart
Farm the specific mission, dungeon, or boss that drops Cold Heart or its blueprint
Repeat the required activity until you obtain all needed parts
Collect the required crafting materials from missions, enemies, and dismantling gear
Start the Research for Cold Heart at the Research Institute
Wait for the research timer to finish
Claim Cold Heart from the Research menu once completed