Ehhhh, set up whattttt? I'll guess some sort of HAM radio since you posted here! lol! Got to kid you a little! More info on your equipment would help a bunch.
Off hand I'd shoot for the attic since it will make your antenna lead much shorter. Don't forget proper antenna grounding. And since the lead will this short keep an eye out for angles so water won't run down the lead and into your home and radio.
You don't say how cold but really cold will cause a bit of freq. shift until it warms up but it's rarely enough to worry about. Then again if it's that cold what are doing trying to talk on your radio anyway? First fix the heater, then talk! Seriously if it's that cold try to warm the radio up a bit somehow, then start using it on low power until the boards get a bit warmed up, then gradually raise the power levels as the radio warms up.
Hope this helped. Lets us know what you wind up doing!