Definitely correct all altitudes below MSA and also MSA if you want to live forever!
See my small thread on one of the last pages of the Tartan Giants thread on the technical site for a bit of useless info from Boeing on the subject.
There is also a Boeing Bulletin on this subject covering the 707 to the 777 which all suffer from altimeter error in cold climes.
I guarantee you there will be one pilot( at least ) who will poo poo this whole subject through their own ignorance on this thread.
Brace yourself!!!