Once you accept the fact that freezing weather, wind, and snow are going to affect the flight of your discs, it's easier to play with "expendable" ones (i.e., discs that you just don't play with anymore). That way, if I lose a Lightening #2 Driver out there I don't get too worked up about it. My 175g Star Orc won't see the snow, but a light, old, DX model will.
Also, bringing a dog along helps. My lab will run over to my disc in the snow and look at me for a moment before taking off into the drifts. I just head right where she had been, and there's my plastic. If I don't notice where she was, though, I find I've made a donation to whomever comes out early in Spring looking for cheap discs because I cannot convince her to show me where it was again.
This was my add to a similar thread Started by Mark Ellis. Search for that thread - there is lots of good advice on winter golf. I agree with Mark on most of this, I do wear a good poly-pro base layer. Alternative to Poly pro base layer is Hemp. It wicks better than cotton but does not have the plasticy feel of poly-pro. My next layer is a light fleece pullover. When it is windy or below 20 I add a light insulated vest and a nylon shell. Definately agree on the neck warmer. Good long jons and wind pants work well for my legs. Unlike Mark my feet get cold before any other part of me. I avoid wearing big clumsy boots by layering light merino wool socks under non insulated seal-skins. Then use adhesive backed toe warmers (last for 4-6 hours) and my feet stay toasty - I hate cold feet. I wear shoes a size larger to accomodate the layers and to allow the toe warmers to work. An essential piece of winter gear for me is a visored hat. I use a ball cap and a beanie type hat over it. The cold weather bag in my truck contains back-up socks,yak-trax,extra gloves, hats, and mittens,toe and hand warmers and gorp. I love winter golf!