Better out than in is similar to what you have said yes.
Bloody cold refers to the weather not the toilet.
Good penalty that refers to a goal scored in football. This would be said if two men met in a pub toilet and were watching football on tv but had to nip to the toilet.
It could be any sport that has a penalty in it though such as rugby.
No, i wouldn't say "How are you guys?" when approaching or "Have a good day" when leaving. I do say "Have a good day" in the changing rooms when i have had a small conversation but that is different.
When between two men you could say "Oooh, i'm busting to go" which means you cannot wait to pee. When you start urinating you could say "ahhh,that's better!".