Calgary here, we walk down to -20C or so, just around the block. Boots of course, and a jacket over her sweater. Good for her to get her neighborhood sniffs for a little mental stimulation and a change of scenery.
I second the treat trick. You must be on the alert for potential triggers for him, and start giving him the goodies before he spots the item, and then you breeze right past. My boy learned to look at me for treats in tricky situations!