This may be obvious, but when it's cold out, it helps to keep the phone in a warm pocket close to the body (e.g. on the inside of your coat) rather than a bag or so. I've never had any issues with iPhones that way; using it for more than a short period of time when it's very cold is unpleasant anyway, so it never gets the chance to cool down too much. (I can confirm this works even at -40°, although you've got to be very careful with charging cables at that sort of temperature. Don't try to bend them, they'll snap.)
I had a lot of problems with my 4S spontaneously shutting down when snowboarding (when it was still pretty new) until it occurred to me to store it inside of my jacket rather than an outer pocket.