Key West is nice. However, there are plenty of other places than Florida and AZ/NM to go winter at. There is Padre Island in Texas which has a good amount of dry camping. Inland, there is always San Antonio, Kerrville, and many other places that have reasonable temperatures at this time of year. Of course, it doesn't hurt to high-tail it out of the region come April due to the hot/humid climate that starts around May persists to September.