My usual practice in general when I was living in a cold place would be just to tuck cameras into the bag for a bit of a buffer as things warmed up: it really wouldn't typically take very long.
As for WR in general, I usually just consider it something that makes it safe to treat a digital camera, moisturewise, like I would one of my better old film cameras. I don't happen to have any WR lenses and I never did, but it's sure a whole lot fewer holes to worry about.
I'd suspect, btw, Rondec, that the metal body actually just gets *colder* somewhat faster, and will feel colder all other things being equal, cause it'll be conducting more heat away from your hand, like any metal will tend to.