When it gets really cold I do the "two pairs of socks + a grocery bag" thing. I put the grocery bag between the two layers of socks and tuck them up under my pant legs so I don't look completely hobo-ish. Although I do crunch when I walk which makes my wife laugh.

I don't think the bags do much for retaining heat, but they are pretty effective as a wind block. When winter gets into full swing I switch to my winter bike which has platform pedals. At that point I'm wearing my hiking boots instead of bike shoes.

I wouldn't mind getting some shoe covers for temps below 30 but before there's snow/ice on the ground that would cause me to switch to the winter bike. My SPD mountain bike shoes have vent holes designed for cooling, which is great in the summer but not so nice in November. Being a size 47 (that's 13 in the US) I'd also appreciate any advice people have for shoe covers that work with larger SPD shoes.