Or ask you local kebab shop if they have any old delivery bags as mentioned before some re-usable hand warmer, i just got some from aldi, a 2 pack for 1.45 and they last about an hour each, when you get home just boil them in a pan for 10 mins and good as new, there is also some advertised on ebay that last 18 hours or something.
Another good option is them big polystyrene boxes used for fish and stuff, just use a hand warmer or even hot water bottle with a towel covering it and it should at least keep warm a little while (and chances are there will be a bait cabin who will nicely fill it up for you.
Failing that use a good thick shell winter paint and prepare for bounces lol
Edit:- a tip i seen from a canadian paintball site... mist spray a tiny bit of water on the balls and mix them up a little so they all have a tiny tiny amount on them it makes softer when they are more brittle