Our shop has lots of ventilation and the few times it gets into the teens or lower, we usually just go home. Right now natural gas is the cheapest fuel for us. I don't have many machine tools, but the stuff that is prone to rust is kept in a temperature controlled room. Stuff that I seldom use, like valve grinding equipment, I keep on an old reefer trailer and I never have had a problem with rust. Of course we are not a particularly high humidity area.
