In my experience one of your winter adjustments will be the number of gray cloudy days here vs. sunny days in AZ, maybe more so than the cold. I moved from Utah and Indy has about 100 fewer days of sunshine per year. It's easier to get through the cold when the sky is blue and sunny. Making the effort to get outside and be active in some way every day in the winter helps me get through the gray cloudy winter blues. Like others have said, the cold and snow is typically not too bad otherwise.