That´s a good idea, but impractical for larger resistor values because copper is so conductive.

 

But why do you need to cool it?

I have run my homebru resistors white hot for 30 years without problems. True resistance varies with temperature, but so long as you measure both voltage and current this can be allowed for.

Incidentally you need to contemplate non inductive winding methods if you are pulsing high currents. Bifilar winding around a circular formar or the zig-zag winding in my photo both work.