The strange device can be obtained by talking to Jorral (making history quest), once you have obtained the device you won't have to go back to Jorral. There are 116 unique Hot/Cold locations, when you have found the location you have to dig. Don't forget your spade!
Warning! When you dig at the dig spot you will be attacked by a Brassican Mage in a single-combat area, or three Ancient Wizards if your clue leads you to a multi-combat area. You cannot protect from magic, however ranged armour seems to help. The three Ancient Wizards are a lot stronger and will use Mage, Ranged and Melee and will poison you! FYI - If the three Ancient Wizards are too overwhelmingly powerful for you, if you climb up and down a ladder near by, that should make them all unaggressive after which you can fight them one on one and use your protect prayers.
The best strategy to find your location is by walking north/south east/west and then clicking on the strange device, and it will tell you what direction is warmer (you will also take some damage so take food). The device will also tell you its temperature, indicating how far you are from the location. Based on the first step you should know what direction and distance you should teleport to. Once teleported repeat to pinpoint a location. You can also use the list or map to help you find your location, this will save food.