[i-adj 〜い → 〜] + がり [i-adj 〜い → 〜] + がり + の + [noun]
がり turns a feeling adjective into a noun for a person who feels it easily: さむがり寒がり is someone who always feels the cold. Drop the い of the い-adjective and add がり. The result is a noun, so it takes です or だ, and の before another noun.
It is a closed set of words, not a rule you can apply to any adjective. Besides 寒がり and こわがり怖がり, you will meet あつがり暑がり, いたがり痛がり, はずかしがり恥ずかしがり and さびしがり寂しがり.
がり is the noun form of the verb suffix がる. 寒がる says what someone is doing now, showing that they are cold. 寒がり says what kind of person they are.