Always get cold feet using SPDs whatever the combo. Went for a run today wearing sealskinz and feet were toasty all the time.
Is it worth swapping to flats in winter for warmth? I have a couple of thoughts on why it might be a good idea -
Your feet move around alot more on the pedals - you're feet and held in place and can move around more
You don't have a metal plate in the bottom of your shoe conducting heat from the pedal.

