It can be done. Chances are that you'll give up before your camera does (except for the battery). I've used my D40 in these temperatures and I've yet to experience any failures in performance or operation. I did kill a lens this way, though.
Going into the cold and getting your camera cold is not the part to worry about. Going back inside after you've been out for an hour or two is when you need to take action.
BEFORE YOU GO BACK INSIDE...
Bring along a hand-held air blower (Giottos rocket blower, for example) so that you can blow off any snow you may have on your equipment.
Ice can accumulate very easilly around the viewfinder from the body heat around your eye causing condensation that immediately freezes. Melt any ice build-up just by holding your finger to melt it with your body heat and wipe or blow it away (with a hand-held blower, of course).
You may want to take out your memory card out now as you will not be able to use your camera inside for several hours (that includes connecting it to your computer). You can take an SD card right inside, there's almost nothing in those things. A CF card, I'm not sure about, perhaps place it in a zip-lock bag before taking it in (see below).
When all of your equipment is clean and dry, put it in a zipped camera bag.
Now you can go inside. Let your equipment sit in the bag for
several hours...as in, until the next day. This will allow it to warm up to room temperature in the same dry-air environment as outside so that it doesn't accumulate condensation.
If you need to use your camera sooner, you can put your equipment in zip lock bags instead (
before you go inside) and then place the bags next to a fan that blows air at room-temperature. This will shorten the wait to about an hour or so or otherwise allow you to "feel" your equipment through the bag to test if it's up to room temperature yet.
Other things to expect when using your camera in these cold temperatures:
- The LCDs and LEDs to slow down. They will start cross-fading instead of responding immediately.
- The batteries will last about 5-10 minutes. Keep one or more batteries close to your body to keep them warm. You will need to swap them often. When I was out doing long exposures on a cold night, I kept my spare battery in my underwear. Yup, seriously.
- At these temperatures, your warm, moist breath will condense on the rear LCD screen and viewfinder immediately, then quickly freeze. This is usually no big deal, you can warm up the frozen condensation when your breath (or body heat from your face) and then wipe it off with your glove. It is annoying, though, and can result in lost photo opportunities. Hold your breath while take a photo, it's good for bracing yourself anyway.