What do you consider "really cold" to be Grace and what exercise? I've done my fair share of cold weather training in SK, Canada... primarily in X-country skiing, running, skating, and biking (-50C rides are fun, *shivers*) etc. Honestly, being cold is mainly a mental barrier and to a lesser extent physical. If you think your cold... you will be. Focus instead on your workout, not the temperature. The best way I've found is to train with other people and have a common goal in mind. I did alot of long, cold, snowy runs this winter... which didn't seem nearly as bad when surrounded with 10 or 15 other chatting runners. Make sure your well hydrated, fuelled and warmed up BEFORE heading out. Count on being cold for the first 5 to 10 minutes, so the remainder of your exercise you'll be comfortable... not sweating excessively which can lead to dangerous situations (being energy deprived, soaking wet and dangerous cold = trouble).
Make sure your dressed properly, but NOT over-dressed. Have a moisture wicking layer next to your skin (polypro), good insulating layer next (fleece, wool etc, NOT cotton), and a wind blocking outside layer (but not waterproof... you need the moisture to escape).
So... like I said, just get out there and have a good time. Your body will acclimatize quickly with regular exposure to cold temperatures. Living/training in -30C doesn't feel nearly as cold after the 4th week... heh.

It froze here 5 nights ago ... winters coming ALREADY.
fallen^sparrow