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I agree with Ray. Unless you are in MONTANA or someplace like that, -20 for weeks at at time, just the act of forging hot steel will keep the anvil plenty warm. It takes a lot colder temps to make steel brittle. The only benefit would be a few seconds more of hammer time but not much more. I do like to sit on my anvil once warmed up in the cold shop. Keeps the buns warm.
An interesting way that I once heard of was to use a magnetic engine block heater. I haven't tried it myself, but it should work.
Brian