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Trust me, I have tried this. I've ridden centuries in sub-freezing temperatures every winter for five years now, and I have a pretty good idea what works and what does not. I have not found a way to make SPD's work in really cold weather.
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I do not blame the SPD cleats, instead I blame cycling shoes. Even with toe covers, plastic bags over socks to stop the wind from coming in the mesh vents, even shoe covers, I do not wear cycling shoes below 30 degrees (F). My winter cycle shoes are a normal summer type shoe, but they are size 45 when I normally wear 44.5. Thus with those shoes I have the extra room I need to wear thick wool socks without compressing my feet. The insole that sits above the cleat hardware acts as an insulator, thus I think the cleat has minimal cooling effect.
Below 30 degrees (F) I use a Goretex lined hiking shoe or regular hiking boot.
I bought some DexShell Hytherm Pro socks, but have not tried them in the cycling shoes yet. I am hoping they will give me another 5 or 10 degrees.