It is narrated from Sayyiduna Thawban (may Allah be pleased with him) that the Prophet (peace and blessings be upon him) sent out an expedition, and they were afflicted by the cold. When they came to the Messenger of Allah (peace and blessings be upon him), he (peace and blessings be upon him) ordered them "to wipe over their turbans and their khuffs (leather socks)."
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الطهارة / 290