From Jack Van Dyke:

Protecting one’s feet against the wind on a cold day can make even a short commute a good deal more pleasant. Plastic grocery bags, applied over one’s socks before putting on shoes, present a simple and effective solution in this regard. In many cases, these can be acquired from almost any local merchant for free, at least for very small quantities. Gathered at the top and tucked into one’s socks, using grocery sacks to block the wind need not be more obtrusive than any other weather-related fashion necessity. Indeed, in the case of sudden rain, these same bags may be retied on the outside of one’s shoes to provide temporary protection. However they are worn, it is important to bear in mind that, though relatively water-resistant, plastic grocery bags do not let one’s feet breathe. Off the bike, their prompt removal helps keep one’s feet fresh, as well as making sure they remain in good condition for later reuse.