I've found that the spd pedals make my toes feel numb after about an hours riding. I think its because of the small pedal print and my budget shoes don't have a very stiff plate.
So in cold weather it really compounds the problem of cold feet, coz my toes are loosing circulation thanks to the pedals & shoes anyway.
I find neoprene over shoes really help a lot in the cold, even when its not raining.
I'll be trying the plastig bag thing this year too.
Stew
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The older I get the better I used to be.