How cold is cold?? If its any colder than say 45-50F you may very well need to wrap the cooling head in tinfoil or a sock to keep the heat in. If you are down around freezing, maybe wait until the weather warms up before you break it in. In cold weather you'll run way more lean because the air is so dense, but an inexperienced user will then 'want to get the temps up, based on his temp gun..' and proceed to lean the needles out even further. Wrong move. Instead, in cold weather you'll need to richen up more, (which will in turn cool the engine off), so to combat that you need to keep the heat in via the tinfoil or whatever.
During break-in you want tons of lube going through the engine(ie. running very rich), but you want temps to be up to at least 200F+. With a new engine the mechanical pinch is so tight that you need those warm temps to help the sleeve expand so that the engine doesn't beat the tar out of itself during break-in(excessive wear on piston/sleeve, rod, bushings etc), which will dramatic reduce performance and engine life.
Also, be sure to pre-heat the engine as much as possible before starting it. Get it going, then take it easy on it during break-in and run it continuously for as many tanks as you can. See if you can run it without shutting the engine off for the entire RX pack. Once most of the pinch is gone(glow plug removed), you are broken in and ready to tune. Don't pay attention to this garbage about '8-10 tanks and its broken in'. It's simply ridiculous, every engine is different.
RC RC etc etc ditto ditto