If you run around enough, you don't get cold. I remember Ian Wright being interviewed after a bitterly cold night game and he was asked if he was cold and he replied that the players are really warm, it's the fans who are cold.
Yep, for a few years I used to do my turbo training outdoors in winter and once I warmed up would be down to shorts and a vest, with a whole lot of steam coming off. Bit different when you have a wind chill of course, but you don't tend to get that when running.