How can I set up my pipes to play at a winter event (parade or funeral)?

(Note: Having written this section, I realized that I'd forgotten a crucial part of the discussion.  Blowing warm air through a set of wooden pipes in the cold tremendously raises the risk of "cracking".  When you have that temperature differential across the wood, the stresses in the wood are increased and you could seriously damage your instrument.  I haven't cracked/broken an instrument yet, but know those who have.  Plastic drones are available to obviate this issue, but plastic drones aren't perfect either.  With that as a disclaimer!.....)

The problems of playing in the cold are: 1) that moisture condenses in the drones leading to a gurgling or flapping sound, 2) that the chanter reed becomes so stiff that you have to over blow (with squeals and drones shutting down) to make it keep playing,   3) that the chanter pitch drops, 4) that the chanter intonation gets messed up and 5) that your body will eventually become the limiting factor at longer times in colder temperatures.

The pipes can be set up to minimize their problems. Moisture condensation in the drones can be reduced by minimizing the moisture that gets into them. The Ross desiccant bag is a help, but not a panacea. Be aware that desiccant looses it's effectiveness at low temperatures. The chanter reed will get hard and stiff as the moisture in it gets cold.  This means that the vibrational mass is larger (lower pitch) and stiffer (harder to play).  This also affects the pitch and intonation due to changes in flexibility of the reed.  I have a reed which I set up for playing in the cold and it works beautifully - but it won't play worth a darn at room temperature.  This reed allows me to use the same drone reeds at room temp and outdoors.  It does, however, require a "bit" of tape on the chanter.  If you have the luxury of a "spare" plastic chanter, leave it taped to compensate for the intonation issues. Setting up this reed will take a half hour of work in the cold before the gig (preferably the night before), but reduces performance anxiety tremendously and is tremendously valuable for those who play several outdoor gigs in wintry conditions.

To set up the reed: Go outside. Get your pipes good and cold. Try to play in the bagpipe.  Blowing a chanter by mouth is unrealistic for the conditions you'll be under.  If the reed won't sound, weaken it by removing cane from the corners of the sound box. (Don't bother trying to use a synthetic chanter reed...It didn't work!)  When it will play reliably (all notes and gracenotes), you're ready to tape up the chanter. Set the reed so that no note is flat and apply tape liberally. In a cold weather parade/band setting, everyone should use the same brand of reed and the same model of chanter to have a prayer of tuning together.  

Before the gig - get equilibrated. This means getting yourself and your pipes out there in the "environment". Pipes have to be at equilibrium with the local environment in order to be stable.  I find that I can open the door of my SUV, run the heater full blast and stand in the doorway piping off and on until I see the cortege - then run for the gravesite.

At the gig - don't succumb to the temptation of jumping into a warm vehicle with your pipes halfway through the gig as your pipes will not sound right again when called upon to play at the end of the service.  Blow through them while not playing, but don't take them inside. Plan in advance to play simpler tunes (to compensate for lack of feel or response from fingers). It is very important to keep your chanter stock warm with your hands so that the now damp reed doesn't freeze.

After you’re done playing the gig, take your pipes apart - totally. The hemp will be wet and needs to dry out - or you'll split a stock or tuning receiver.

Currently, my "extreme piping" set-up has tape on everything except Low G, B and high A.  I played it at 5F (-15C)  with a wind-chill of -40F (-40C) in the falling snow and made it through a long, high-profile service for a fire chief with no problems - other than very cold fingers, ears and knees.  The P-3's, as recorded/broadcast by the television station behaved well, sounded terrific and prompted comments that "other pipers don't sound that good at room temperature".