i'm in calgary and have had the same winter so far, i wear (from the inside, going out) - socks, safeway grocery bag, running shoe. so far so good to -7c on a 4km commute. i can see myself looking for a new solution when it gets to -20 or if my trip distance increases.
edit: i rode home one day last week with one foot in a bag and the other foot bagless and definately was getting chilled-out on the bagless foot. test 1 foot tomorrow morning, and if you find yourself walking in a big circle once you get to the office, you'll know that foots frozen hehe.