More adept Changelings can clearly emulate humaniods at least down to a cellular level. In "The Adversary," Dax scaned the Krajensky Changeling and later told Sisko that he registered as Human. Odo, however, would not need to fool sensors and scanners, and so would not bother to emulate internal organs, or anything other the outer appearance of a humanoid.
As for having a skeleton in his Odo-form, I doubt it. It's implied that his molecules simply hold themselves together in whatever configuration he wishes. So I guess he holds himself up and together through sheer willpower.
As for what Lwaxana and Kira said.... Lwaxana only said he looked warm because he looked like he was melting - something melting tends to look hot. Kira probably meant that he was either simply emulating a solid for eighteen hours a day or holding just that one shape and not shapeshifting a lot.
As for whether Changelings actually do generate heat.... I have no idea.