The ability to initialize quantum registers in pure states lies at the core of many applications of quantum technologies, from sensing to quantum information processing and computation. In this paper, we tackle the problem of increasing the polarization bias of an ensemble of two-level register spins by means of joint coherent manipulations, involving a second ensemble of ancillary spins and energy dissipation into an external heat bath. We formulate this spin refrigeration protocol, akin to algorithmic cooling, in the general language of quantum feedback control, and identify the relevant thermodynamic variables involved. Our analysis is two-fold: on the one hand, we assess the optimality of the protocol by means of suitable figures of merit, accounting for both its work cost and effectiveness; on the other hand, we characterise the nature of correlations built up between the register and the ancilla. In particular, we observe that neither the amount of classical correlations nor the quantum entanglement seem to be key ingredients fuelling our spin refrigeration protocol. We report instead that a more general indicator of quantumness beyond entanglement, the so-called quantum discord, is closely related to the cooling performance.