Danjo, thanks for the comments and I love your enthusiasm about running in snow, it definitely is a interesting feeling (until your toes finally go numb). Anyway to answer your questions, on the this particular run I did not warm up, I more or less got ready to go and just went. I found out this is not recommended, I now warm up for about 5 minutes doing high steps in place to get the blood flowing and hear two pairs of hand knit wool socks over my feet for about half a hour to get my feet core temps up (my staff and co-workers definitely think I'm nuts now). Another little item that I have found that works to help regulate the temperature of my feet, is that I wear wrist bands over my ankles, this seems to help as well not sure why, but what the heck.
Your point about you looking funny sitting down and holding your feet, well, as I say 'Say La Vie', do what you need to do, most people are oblivious to what is going on around them unless it involves themselves, and the others could become a conversation piece, and no publicity is bad publicity.
For your running thru snow, just take it slow only short distances and listen to your body and more inportantly your feet. Also do you have snow in New Mexico, I am assuming you are close to the mountains? Anyway good luck and let me know how it goes.