I haven't had many problems with my modern electronic bodies when bringing them in out of the cold; I don't always do the baggie trick. I haven't really had any problems with modern lenses either.
But my vintage gear is another story. Both the Widelux and the Rollei broke down when shooting outdoors on a cold day, and had to be sent off for repair. The shutters in old lenses get cold, and start moving slower and slower.
Also watch out for the camera body if it gets too cold, and you put it up to your face. You don't want it sticking to your face.
With temps below zero I'd say try to keep any cameras' exposure to the cold and elements as limited as possible.