I like the thought of experiencing steam locomotion in the winter too.

I made an early trip with the Grand Canyon Railroad Railway in December 1989 behind one of the LS&I locomotives. There was lots of snow!! Enough so I had to deploy chains on the car for the first time when we left Williams the next day.
I also made a trip on the D&S Cascade Turn in December 1984. Again lots of snow! We bucked into a snow drift from a small avalanche on the return trip that jolted the whole train.
In the winter of 1972, my brother and I rode the Reader RR mixed train to Waterloo, Ark. No snow, but it was so cold and damp that I didn't feel the pain from the coach window that crashed down on my fingers.

Sometime in the early 80s I rode my first UP 3985 trip: behind a 6900 Centennial from Denver to Borie or Cheyenne and then 3985 to Laramie and back. It was October and we encountered a few blizzards. Perhaps I exaggerate. Heavy snow events, then.

Finally, I had the opportunity to ride in the caboose with friends behind T&NO 786 on some cold Central Texas winter days (sans snow). Nothing like warming up chile and tamales on a caboose stove!