The cold can slow your camera down and drain the batteries more quickly, so make sure your batteries are fully charged and put your spares in an inside pocket near your body to keep them warm. If you find your batteries are dead, putting them in your warm pocket for a few minutes can sometimes give you a few more frames.
Coming inside from the cold can cause your camera to fog up on the inside, and it might take a while to dissipate, so give your camera a few minutes to acclimate to the temperature change before using it. If you’re working in an extremely cold climate, try putting your camera into a plastic bag when you enter a warmer location. This will allow the condensation to form outside the bag instead of inside your camera.
Colder temperatures will cause your LCD screen to slow down, and if you’re shooting action you may find your AF to be slower. Be careful not to breathe on your eyepiece or the front of your element of your lens in freezing temperatures because the condensation can freeze.
Keeping yourself warm is also important, so dress comfortably in layers. I keep disposable hand warmers in the palm of my gloves and in my shoes to keep my toes warm.