Artimuse, I too living in the frosty white. Several times a week I walk home from work (a good hour). I don't know the correct answer since I don't know exactly what the warning is about.
I think it is wise to follow Master Lin's instructions when you can. So allowing yourself time before exposing yourself to the cold is a good idea.
My thoughts, while walking in the cold, have been something like,"I'm out in the cold and walking. Yes I'm cold. Opening my channels will help me function well. Will help me stay warm." I find I relax a little more, walk taller, and I become warmer.
I often mentally do the breathing of the universal energy while walking. I don't open and close my arms, like I'm trying to hug everyone. I walk with my arms swing naturally, forwards and back. I feel drawing qi into my lower dan tien is beneficial. And I always feel warmth on my exhaling of energy in the wrong places.
I usually have an attitude shift as well. Since there is no good energy or bad energy, I stop judging the weather and wishing it was something else. I see the beauty and power in the world and appreciate it. I still pull my hood up and turn my face away when the wind bites very strongly.
Of course I don't go as deeply into the emptiness as when I'm doing a sitting meditation, but there is a balance to be sought in all things, and a flow to your energy.
You are perfection,
Iam2 
