I've never camped in snow or cold and have no desire to. However, I have the following suggestions.
1) Before retracting the slides, make sure there is no snow on the roof of the slide (if no slide cover) or on the slide cover. Carry ladder/tools to clear it off.
2) If you have a slide topper and there is going to be water and freezing, you may want to retract the slides. I'd be afraid water would get into the mechanism and possibly cause damage or keep the slide from retracting until the ice melts.
3) Check the insulation in the walls/floor/roof of the slide and see if it is equivalent to that in the rest of the RV. If it is significantly less, I'd be tempted to not extend the slides in the cold.
Ice can form on the ouside seals and cause damage when you close them up. Check for ice before closing. Use a deicer spay from the auto parts store when necessary. After using the deicer it may be a good idea to use a rubber seal conditioner before you store it.