If I was to rub warm volcanic ash into my skin, will this have detrimental effects?

It would have the same effect as rubbing yourself with pumice, warm or cold. It would be slightly abrasive and would leave your skin smooth. To use warm, freshly emitted ash would not be possible for you, as you would have to go into an area where ash was falling, and people are usually fleeing those places. Taking an 'ash-bath' would not be recommended! People who did so during the Vesuvius eruption of 79AD, albeit unwillingly, can still be seen in Pompeii!