Cool tip from Agger buy yourself a Polar Buff (headgear / neckwarmer type item) I have 2 of these and have them fitted to my longer lenses as camoflague.
The Buffs come in a few different designs, which is great as you can express your personality, the basic Buff is just a tube with multi coloured design, you can get the Polar Buff which is a fleece tube with the basic Buff attached, it fits over your lens / body (fits on my 10d / 20d with 600 f4 attached) and it keeps your hand warm as well as the battery compartment.
I have never suffered failure from a cold battery desppite shooting in some very hostile conditions
Hope that helps