When Mary Tabor walked her dog recently, it was below zero and her breath could been seen in the morning light.
As a photographer I use techniques that illustrate what I see. In other words, how do you use the camera as a tool in capturing a person in cold weather. In order to see water vapor in the air on a cold day, it must be backlit. There also should be a dark background to separate the illuminated vapor.
This can be tough to photograph because everything must be just right. Your exposure should be a little under-exposed just to catch the highlights and let the rest of the image darken.
This technique works well with animals such as cows and horses too. The colder the better and the lower the sun the easier it is to capture. So I recommend you rise early on a cold morning and check out who or what is moving around. Remember your farmer friends who feed cattle warm silage when the temperature is very cold.
Be careful not to let the black background throw off your meter reading. The vapor must be white and snap off the rest of the image.