The skiing analogy is an interesting one and it has some merit, but there are differences. When downhill skiing, excessive perspiration is not an issue. So while you might be going just as fast on a pair of skis as on a bike, you're more vulnerable on the bike if you're wet. Cross-country skiing is closer in the exertion respect, but you usually don't hit 30 or 40 mph on nordic skis, so the windchill factor is less important.

Based on my limited cold-weather riding experience, success comes from knowing the limitations of both your gear and your body. And that's done mostly through trail and error.