I never shoot cold shells. On league nights I bring my shells to the car and go to the club. I bring them in. If it is VERY cold, like less than 0 degrees, I usually have a handwarmer in the pocket with the shells. ( a Chemical one, not a combusting one.)
Never a problem. I have noticed there are some combinations over the years that have problems in cold weather.
Hotter primers, higher pressure loads, etc help. Claybuster Lightning 7/8 oz wads have given me cold weather problems.
A "AA" pattern wad will produce higher pressure than one with a flat bottom, and in the same recipe works better in the cold.
Keep 'em warm for less trouble.
HM