I have spent a few hundred nights out in the winter. It really is not a tough thing to do. Proper gear AND a proper mindset are very important.
I agree with most of gunnelbob's post. -10ºC to -20ºC is just about ideal. I would rather it colder than warmer. I hate sweating and getting damp.
I have been out on two trips that hit -40ºC, both many, many years ago. I would not consider it again, but in those days we really did not plan too much around the weather, we just up and went. Both these trips we built quinzee's, which are cozy and warm, especially during dinner time. One of the hardest substances at these temps is cheddar cheese, even a machette would hardly chip it. Our rum was hard slush. Upon returning to your vehicle, you might just have to tarp in around it, and light your stove under the oil pan to get it going. We have had to do this numerous times.
I have never used a 4 season tent, mostly because I never owned one. I have used 3 season tents a bunch, as well as bivy bags either under the stars, or more commonly in some form of snow shelter.
Lately I have been taking along a single walled sil-nylon tipi. Not only can it make a good shelter for sleeping combined with a bivy sac, it is very fast to set up for breaks during the day should the wind be blowing hard, or lots of snow is falling. warmth of the bed.
A lighter and much smaller option to an ice auger is an ice chisel, as you can make a pole for it while out there.
HERE is a link to one similar to what a friend made for our use. If you were going to want a bunch of fishing holes, an auger would be more efficient, but just to get drinking water the chisel is fine.
Personally, I prefer skis to shoes if conditions permit. Much faster travel. I also prefer to use my pulk to a pack, as I find with both I expend about the same amount of energy over all, I just hurt way less when pulling the pulk.
Remember to stay hydrated, it is way to easy in the winter to end up forgoing enough water intake. Helps keep the energy level up.
Definitely prepare meals ahead. You might guess, but I always slice my cheese ahead.

Cutting up and preparing foods when they are frozen is not so much fun. Dehydrated foods work great, as they are light, prepare quickly with warm water, and provide good energy.
Snack lots during the day, the calories you can burn in the cold are many more than warm weather trekking.
Eat some high fat foods like cheese or nuts before bed, as they produce some good energy to help you stay warm. If you need to pee, do it....no sense wasting energy keeping that liquid warm all night. I too use a pee bottle when cold.
Dressing is layers is the way to go. I start with a thin skin-tight pair of polyprop longjohns. Then add warmth layers as needed, like a fleece or even wool. A good windbreak layer is a must too. If it is going to be very cold, a light down coat is great for breaks during the day, or hanging out before bed.
A good insulating mat for under your nice warm sleeping bag is nice too. I just love my Exped Down Mat with its 9cm of loft.
I have done the sauna thing with thin plastic and hot stones from a fire, but that sauna tent sure does look like a nice luxury item.

Winter camping is a blast, fun in the snow is pretty much as good as fun on the water in a canoe.
