Its been cold up here in Mn...yesterday it was 5 above when we walked (6:15) out to the stands.
My water bottle had ice in it when I needed a sip around 8am. I used Heat-factory handwarmers and toe warmers and never got cold even though it was kinda windy.
One thing that I do is to walk out nice and slow, DON'T get all sweaty, and I usually just wear a hoodie or jacket while walking out and then get into the cold weather stuff when I'm at my stand.