Well, maybe not lonely, but the aluminum nanos get very cold when the temperature falls below zero. Wonder if apple thought of this when they designed it😛
(And yes, i know that most metals get cold in such temperatures, that's some of the point)
If the iPod is not turned on, keeping it in an iPod sock would be of no use as the iPod would not be generating heat.
Any type of 'clothing' prevents heat from dissipating, but they do not generate it (unless, of course, it has an energy source... but thats a whole other story).