What You Did
You mimicked the insulating power of blubber, a vital layer of fat that polar animals have year round and that some temperate animals build up just for the winter season.
When you immersed your fat-covered hand in the cold water, it didn't feel as cold to you.
You may not have experienced the insulating effect of fat if you didn't use enough shortening, or if you didn't press it evenly around in between the bags
Vary the amount of fat you put in the bag. Vary the type of fat you use. Try using oil, a liquid fat, instead of a solid fat. Try using different substances for insulation, like a t-shirt or juice
thermodynamics, hibernation, insulation