Mary,

While I haven't done the plunge, when visiting friends with a sauna, the ritual is to get good and hot and then step outside to douse with water from a standpipe in the snow (or, simply roll in the snow). I also teach a cold water paddling clinic each spring. Water temp is about 35 degrees and we go out to play, upside down and rightside up. We roll the boats over, exit, and practice reentry techniques, all of which are made more difficult by limbs that are quickly losing dexterity in the cold water.

Next year, maybe I'll do the plunge