Many people say that you should let a cold camera warm up slowly, to avoid condensation. Some put it in a sealed bag for the same reason.
Personally -- I just bring it in and out like usual. Going into a warm room, or putting a warm lens cap on a cold lens, will lead to fogging -- but that's just exterior, and goes away quickly. I've beat on my D40 thoroughly, including face-planting it into the snow (with no lens cap) many times. It just keeps on working!
One good thing to think about though: if the camera isn't fully acclimatized (to hot or cold, either way), don't remove the lens from the body. That's when condensation can actually hurt you, by getting inside the camera.
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