One thing I recommend- Remote Start. I had this put in (got my '03 Forester X 1 year ago with 36K on for $16900) at purchase. If I get cold sleeping inside the car, I can push the remote start button on my 'fob' and the engine will run for 10 min and shut off. Having left the heat and blower on, this warms up the car nicely. You can fall asleep for a couple hours before the cold wakes you up again.
Couldn't this be dangerous?
Probably only dangerous if you're not in a well vented area.
If you do this with the windows shut (which might be tempting if it's that cold), and if your car has any exhaust leaks, this could indeed be risky. But if there's a breeze and the windows are at least cracked open, ten minutes is probably not that big a deal. Still, a nice warm sleeping bag would seem preferable. HPH