Sounds like you need a portable shooting shed with heat.
Oh wait, you have one.
Pick a nice, really cold day when there's not likely to be anyone else out at the range.
Park the car sideways to the range and shoot from your nice warm and toasty seat.
Just remember to roll the window down, first.
No kidding, we used to do that all winter long.
If there was anyone else crazy enough to be there, they didn't mind in the least.
They usually would do it, too.
Lock the doors, they're coming in the windows.