I've done it twice. And not in the wilds of the real cold areas of the North either, just hoovering around 28 or less.
Anyway you look at it sucks. The RV is nothing more than a poorly insulated box sitting out in the elements.
Add to that a ton of windows and windshield and unsealed roof vents, skylights,etc, all ways for the cold to come in thru and you are a popsicle waiting to happen unless you jump thru all the hoops of covering all the windows, vents, pulling and draining your water hose, etc. etc.
And what ends up happening is you are now a Full-Time RV'er sitting in solitary confinement in your coach with all the windows covered. :R
Yup I did it once and then was stupid enough to try it a second time. What was I thinking? I went Full-time to 'get away' from the freezing cold in Wisconsin.
Now where ever I am staying, if the temps are going to go down anywhere near freezing the levelers come up and I put it in drive to find a warmer place. Of course that is 'my' IMHO, JMHO. :C