Does catching a cold give you an "effective" advantage against future colds?
Short answer: no.

The "cold" is a common term for symptoms caused by dozens of different viruses. Even the canonical "cold" virus (rhinovirus) has large numbers of strains.

Exception to the short answer: Getting a cold might be effective against similar strains of the same virus.

Most of the time, future colds will be due to a different strain or a different virus. Best protection is to block unused/vulnerable receptors in the nose.