You also have to watch the batteries in the truck in weather like that. The cold drains them down faster and if they are already low, they could fail at the worst time.
Not to mention, these newer trucks only use 1/2 gallon per hour on long idle. When you start it up it is using closer to 2.5 GPH. Best to just keep it running. And a little fuel bonus is not worth sacrificing your safety to get it.