I led wilderness camping trips for years. Many times we were out in sub zero temperatures. A couple of nuggets of advice:
1) never allow yourself to overheat. I know, I know... overheat in the winter. Yes, and it is a big deal. It is best to dress yourself in layers as others have mentioned (20 years of leading trips has led me to my personal base layer favorite: Under Armor Cold Gear) and then as soon as you may feel that you are getting hot (from exertion, sun, etc) strip off a layer to regulate your temp. Sweating in your clothes, even a little bit, will create issues with staying warm later. Moisture conducts heat (away from you because you are the one producing heat) 26 times (!) faster than air.
2) to help yourself combat the cold in camp, dress warm in your rig and roll the windows down (or crack them open). Our skin is amazing stuff. And to help our bodies conserve energy (making heat in our bodies takes a lot of energy) our skin constricts our small blood vessels close to the surface of the skin. If you are rolling along in a toasty rig in light clothing and then get to camp and step out into the cold, it will take a few hours before your body adjusts and opens up (dilates) your outermost layer of blood vessels. If they are already in action from being in a bit of a colder rig, then you will find that you are more comfortable in camp and that the cold is not such a shock. An interesting side note to this is that you can see the reverse happen after you have been out in the cold for a few hours or few days. When you come into a house, or back into your rig, you will see that your cheeks are rosy and flush with heat. This is because your blood vessels were dilated outdoors and they will constrict back down now that you are in a toasty place. To compensate for the extra heat we need to produce to keep us warm in cold environments, our calorie burn goes WAY up. Instead of the typical 2000 calories required per day, cold environments require more like 6000 calories a day!
3) use a one liter or larger *non-insulated* water bottle that you are positive will not leak (I like the Nalgene bottles for this purpose) and fill it with hot water right before you go to bed. Slide a sock over the filled bottle completely and put it down at your feet in the sleeping bag. Ahhhhh... warm toasty heater next to your feet all night long. :)
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