Don't do it.
The choice may not be yours.
Sometimes you have to play at a graveside during the coldest part of the year. In Northeastern US this can be brutal. A bagpipe can simply freeze shut. You need to keep air circulating through the pipes to prevent them from icing up. Then there's the matter of your facial muscles, which go slack in the cold weather and make it impossible to clamp down on the blow pipe. Fingering can be a problem too when you can't feel the holes in the chanter.
I once played a policeman's funeral on a windswept cemetery hill in weather that was 5 degrees Fahrenheit without wind. The windchill brought the temperature well below zero. I had handwarmers stuffed into the backs of my fingerless gloves, but I still had trouble moving my fingers. I had to wrap handwarmers around the base of my blow pipe stock to unfreeze it at one point. During the breaks I held handwarmers against my face to get the blood circulating. The bugler, playing Taps, could not make a sound come out of his bugle except something that sounded like a frail hiss.
All in all it makes for good stories but bad piping.
