In very cold weather you are much closer to the ground than you think. ATC should adjust according when vectoring you. (SHOULD).
On approach you must correct all altitudes especially minimums. At very cold temps you could be well over 100 feet closer to the ground than indicated.
Have a look at the cold temp. correction chart. Imagine a Cat 1 approach at -25C. Imagine yourself thinking there's plenty of wiggle room here, I'll start my MAP in 20 ft. or so. Suddenly you've returned to earth before your time. Maybe permanently.
To draw you a picture imagine taking some tropical air in a balloon and then chilling it to well below freezing. The balloon will constrict or get smaller. If this is the air mass which you're in, a given indicated altitiude will be closer to the ground than it would be in a warmer air mass. You've heard of shrinkage. All men know about it. Same but different.
Your actual altitude (measured with a string or some such device) will always be closer to the ground when it's below ISA temperatures (and conversly, the opposite). When we're all motoring along at our flight levels we're all effected the same so it doesn't matter. It only matters when close to the hard stuff.