Unfortunately, the footing and crazy amount of ice we've got under the snow this year has sort of decided how much riding I'm doing. (Not having an arena will do that for you! It usually ends up being how much cold and treacherous footing *I* can handle, rather than the horses!) I did some groundwork with the horses in the roundpen yesterday and all of us were slipping and sliding around so it looks like we won't be riding much.
In terms of cold air on lungs, I usually just listen attentively to their breathing when they're being worked and if they start to cough, make wheezing sounds or huff & puff, I scale back on the exercise. I don't usually do enough intense work with them during the winter to worry about a warm-up/cool-down other than to start off with some light trotting or yielding the hindquarters, forequarters and sidepassing. I always finish with some type of desensitizing which encourages the horse to stand and get their air back and then I'll just walk them for a bit until they're settled and breathing regularly again.