We do and just love it. -15 (F) the last night on our most recent trip a couple weeks ago. Some friends are heading out in a couple days (Christmas) and I wish we could join them, but we probably should do some family time.
Yes, it is more effort in the winter and your rig may benefit from some simple modifications first, but in our opinion it is well worth it. If you do go out; pick mild (winter) weather for your first few trips, bring appropriate clothing, don't rush or try to travel far in a day, keep your options open, and enjoy.
Steve