Halocho paskens that unless you are mitzta’er and unable to accomplish the act that you are about to do, you have to do it in the sukkah. For example, if you can’t eat the mikpeh (whatever type of food that is) because the rain is ruining it, you are pattur. Similarly, if you can’t sleep in the sukkah because of the weather, mosquitoes, whatever, you are pattur. But you’re not pattur because you CAN eat or sleep and feel guilty about it.
Lav Davka. The Alter Rebbe (Shulchan Aruch 639:8) writes:
??????? ????? ??? ??? ???? ????? ???? ???? ???? ?? ???? ?????? ????? ??? ???? ???? ????? ?????? ?? ?? ???? ??? ??? ???? ?? ????? ??? ???? ????? ??? ???? ??? ??? ????? ?????? ????? ??????? ?????? ???? ?????? ?????? ???????? ??? ????? ???? ???? ????? ?????? ????? ?? ????? ??? ??? ?? ???? ??? ???? ????? ?? ??? ??? ????? ???? ???? ???? ????? ??? ?????? ?????? ????? ???? ??????? ??? ?????? ???’ ??”?
So if one’s cold, he has to bring blankets unless it’s too much of a bother, that had the Sukkah been his house, he would have gone inside. So you don’t have to be in such Tzaar that you wouldn’t be able to fulfill the Mitzvah, you just have to be in enough Tzaar that had it been your house, you wouldn’t stay there.
If I’d feel guilty sleeping in my house, I’d find another place to sleep.