I always carry aluminum foil in my tool box so I can wrap the cooling heads. I usually do it when temperatures get below around 20F. Even when wrapped with foil, I have never had a problem with overheating. Of course, I do check the temp more often when they're wrapped.

My brother and I broke in his OS 18 CVR a couple weeks ago and it was 11F (about -12C). Everything went well, but it was freakin cold out there We didn't wrap the head, but if it had been as cold as you're talking about we would have. Actually, if it was that cold we would be waiting for spring

Oh, I have been running nitros for about 15 years and have never used a temp gun. I have nothing against them, but don't see the need to be so precise when bashing. All of my engines run tip top.