Hah, yes it's a cotton yarn, or something very similar. The fibers work in my advantage, even though I have to clean up the background in most of the images. The black colour offers contrast, the fibers lift away the mitten from a solid and overbearing background, but the best advantage is the one you mentioned. The fibers of the mitten only make contact with the snowflake at a few points, making for a great insulator from ambient heat. This keeps the snowflake from melting quickly! I use a small paintbrush to nudge the snowflake around a bit to get the right angle, and the fibers of the mitten work well with this too.
The best snowfalls are those with lighter accumulation and very little wind - this tends to generate bigger crystals, though smaller ones can be equally as beautiful. The snowflakes fall directly onto the mitten and from there I position myself overtop to snap the image. I'm blocking a lot of the snow with my own body, so the crystal I'm currently photographing is less likely to get smothered by other falling snow.
Hah, yes the MP-E is probably the most difficult lens to you use in any modern camera system. With extension tubes, I can get roughly 6:1 magnification. The trick is not quite as you'd imagine, but rather getting a perfectly linear forward and back motion to pass through the focal plane. This is done by grabbing the end of my ring flash with my left index finger and thumb, and gently nudging the whole camera forward and back while most of the camera's weight is supported by my right hand. My left hand is also resting on the table the mitten sits on, giving me a solid anchor point for stability.
It can be difficult to get the snowflake in the frame, and also a bit tricky to get the right angle of light to have a reflective surface. It takes practice! Same for breathing, but the only concern there is not to breathe on your snowflakes.
As for the big focus-stacked panorama I have on my wall, I think the magnification was somewhere around 4:1, handheld. I chose a framing that would capture roughly 1/3 of the crystal at a time, giving me the needed overlap for panorama stitching. I've only done panorama shots like this a handful of times, and most often it's just to add an extra branch into the frame.
Hope these tips continue to be of use!