Grocery bags, saran wrap, zip locks, aluminum foil - tried em all and they all work. Problem for me is it's a royal pain in the ass especially for commuting when I had to do it twice a day. I have neoprene socks (gator, on amazon) that I wear over wool socks. I also have heated insoles - the combo works great for me down to -4 (farthest tested). Always have to consider the PIA factor!