I think you've hit upon an important point. If you approach something like winter cycling with the mindset that you're just going to do it and be fine with the cold, then you'll be ok. Get out there and do it, and your body will adapt. Granted, some people find it easier to adapt than others....

I've lived in the NE US my whole life except for about three years in grad school in South Carolina. I had this housemate who would often be gone for days at a time, then he would come home at some random time for a few days. A lot of the time when he was gone, I would turn off the AC and open the windows because I wanted to really acclimate to the hot sticky weather. I found I couldn't really do that when I was in AC nearly 24 hours per day. It would drive him crazy to come home and have to turn the AC back on and close all the windows, because there was no way he wanted to put up with the heat for more than the 30 seconds it took to walk from the car into the house. Anyway, I got so I didn't mind the South Carolina summer so much....