Denotation is the exact meaning of a word; connotation refers to the meanings/temperatures of the word ... what it says or suggest over and above the meaning.
In this poem, almost all of the images connote the reaction of pain as being a hardening, a stiffening, a formality in dealing with whatever realities that follow. Consider these images: ceremonious, tombs, wooden, quartz, stone, lead and freezing. In describing how one draws back in reaction to great pain, Dickinson selects images that all suggest a hardening, building a shell. She mentions the word "tombs" in the beginning of the poem, and comes around to freezing to death at the end. As we freeze, we "harden," but it happens slowly, not immediately. But the end results is the final hardening, rigor mortis.
All of this is done through the common connotation of these words, not through their denotation.
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