It's just good manners to fire a warning shot over their heads and on Christmas we always give 'em a running start

Maybe I'm just lucky, but here in the upper Midwest there is a high firearm per capita ratio and I have no fear whatsoever of being shot for knocking on someone's door, even wearing spandex and funny shoes. Knock on a door at Christmas and you'll likely get eggnog, an invitation to dinner, and a Christmas card. I love Minnesota Nice.

If you want extra warmth for not much weight, a mylar emergency bivy sack can be put over a regular sleeping bag for extra warmth, and protection from water and wind. They cost around $20 and roll up to about the size of a soda can. You can get some that are reinforced Tyvek type material which are orange on the outside and silver mylar on the inside. Couldn't find a picture of those but here is something similar.