Blow air after you remove the iron (not before), when the alloy is pasty or even full solid, to lower the temperature quickly. If it's a resistor or something like that, then don't bother, but with expensive semiconductors this is a good precaution.

If failure is absolutely no option, then hold the lead on the other side of the PCB (between the soldered area and the component) really tight with some mini-pliers, to prevent too much heat from reaching the component (some heat is leeched by the mini-pliers). But this is very tricky. Sometimes I also keep a finger on the component, to remove some more heat, but I got burned more than once, since I was daydreaming instead of paying attention. As a teenager, my finger tips were always burned from the rather brash soldering technique I was using. I'm a little more cautious now.

Blowing before you remove the iron is a bad idea - if not for making bad contacts (once the liquid has managed to wet the lead and the pad all around, there's no risk of cold joint anymore), then at least because there's a risk you may blow the liquid alloy away. :)

Cold solder joints can often be recognized if you know how to "read" the shape of the solidified alloy. It's not a foolproof technique, but it does reveal the more egregious mistakes. If the alloy makes a round cone-like shape, uniform, symmetric, without interruptions, if the alloy seems to "merge" into the pad and the lead (or seems to "wet" both surfaces), as opposed to appearing to repeal the metal ("non-wetting" material) then chances are the contact is good.