I have a little 10x16 smoke shack on the property. Comfy chair, wood paneled walls, 3 opening windows with bug screens, and a nice desk. In the winter I use a "big buddy" portable propane heater that heats it up in about 5 minutes. works well. It's even close enough to the house that it still gets wifi.
Whatever you do, go momentarily into your safety officer mode. Don't close yourself in with fumes from anything (but your pipe). The cold weather gear may help. Once things get chilly, I'd rather walk, when that is possible. Sitting around in the the cold leaves me ... you know what.