Room for opinion on this one, but seems like a strong convention.

We could use onlyHot, onlyCold, hotOrCold

I'd probably require a newer version here.

If you transfer MKR directly to the VoteProxy, it will get "stuck" and be unusable for voting until you call proxy.freeAll, at which point it'll be refunded to the cold wallet.

This could be fixed by changing:

to:

function lock(uint256 wad) public auth {
    gov.pull(cold, wad);
    chief.lock(gov.balanceOf(this));
}

Such a change will make it so the next time someone calls lock(0), it will include any MKR held by the proxy contract directly.

Note: It should be verified that gov.pull(cold, 0); will not error. If it does, a different solution would be called for.