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Sometimes when he looks at his hands, they look wrong. It makes no sense. They're the same hands they've always been, as far back as his memory goes. But sometimes he feels a moment of disorientation when he catches sight of them, like something's missing. Those are the times he avoids touching his own knuckles, when the smoothness of the skin feels wrong in a way he can't even begin to express to himself, much less anyone else.
Sometimes when it's cold, he's somehow surprised that it doesn't hurt. He's been thin enough in the past, before he figured out that yes, crime really does pay, that winters had once been miserable due to the lack of an insulating fat layer - but it's been a long time since he was that thin, and he's never had the kind of injury that lingered and made him miserable whenever the cold hit. But every time it's cold, he instinctively moves slowly and carefully when getting out of bed, until he's awake enough to realize that there's no reason to. Instincts that have no reason behind them - that's not the kind of injury that would go away with time.
There's something horribly wrong with his instincts, with the way his subconscious sees the world. So he makes a conscious decision to do the opposite of what it tells him to do. Where his instincts are constantly set to fight, he makes his default reaction to flee, whether literally or by talking his way out of the situation. It might not be his first instinct, but he finds that he knows how to charm his way out of nearly any sticky situation. Where his instinct is to be angry at the world, he searches for ways to enjoy it instead, and hides the anger when he can't get rid of it. His instincts want him to be a battering ram, but he makes himself into a slippery eel instead, everything about him smoke and mirrors.
He covers up all of that smooth, unblemished skin—suits make a good excuse for wearing long sleeves and pants even in the height of summer. He can't get away with covering his hands all of the time, but being a criminal does give him more of an excuse to wear gloves. Gotta avoid leaving fingerprints, right?
He hasn't felt like himself, whoever that might be, since he woke up with no memory. But wearing flashy suits and acting like he didn't have a violent bone in his body, he feels like he's wearing the identity. Neal's not him, and that makes it easier to deal with somehow—he's playing a role, not living his life, and it's a lot easier to play a role that doesn't fit right than to be somebody who doesn't fit right.