The Winter range sessions are held literally just "out the door" from the classroom area. We are not standing in the cold for hours on end! We work on technique, dry firing our grip and stance, and then open the door and shoot. The area is sheltered from the wind, and if we get a little chilled, we head back inside for some warmth. If you are considering getting a Permit to Carry, "bad guys" don't restrict their activities to just the nice weather months!
The only time we would not hold a class is if the wind chills were such that it was dangerous, or if the weather is blizzard-like making it dangerous to drive to the classroom setting.