I can't recommend picking up some of his stuff too highly. I think he's one of the best superheroes ever written, and I think this series was phenomenal. That being said, while I'm still excited about his new back-up feature in Action Comics, the first installment left me cold.
Speaking of being left cold, in answer to your question, when Cap arrived on the level of Purgatory dedicated to the sin of sloth, he found Rick Flag already there, frozen solid. Cap initially didn't understand why they were there, as they had both led active lives in the military. Flag explained that it was not laziness, but rather complacency; in his case, all the men he had knowingly led to their deaths in suicide missions, all the lies he had told, all the injustices he had stood by and allowed to happen. In the end, Cap realized that the only way to be purged of sloth was not to allow themselves to be frozen into inactivity by the extreme cold, but rather to run, so as to generate warmth. Does that explain it?