I've never done that.
I have left all my gear in an unheated garage all winter (in NJ) with no ill effects.
Unless you count being out of tune.
I usually did warm up the garage with a space heater for an hour or so before practicing though.
Other than condensation issues, I'd let everything adjust to room temperature for 30-45 minutes before playing.
Ted Nugent said it best
"I don't like repeat offenders; I like DEAD offenders"
Awesome.
It would be interesting to see the statistics on guns stolen from police officer's homes, National Guard Armories, etc.