Wind and warmth sensations proved to be able to enhance users' state of presence in Virtual Reality applications. Still, only few projects deal with their detailed effect on the user and general ways of implementing such stimuli. This work tries to fill this gap: After analyzing requirements for hardware and software concerning wind and warmth simulations, a hardware and also a software setup for the application in a CAVE environment is proposed. The setup is evaluated with regard to technical details and requirements, but also - in the form of a pilot study - in view of user experience and presence. Our setup proved to comply with the requirements and leads to satisfactory results. To our knowledge, the low cost simulation system (approx. 2200 Euro) presented here is one of the most extensive, most flexible and best evaluated systems for creating wind and warmth stimuli in CAVE-based VR applications.