Seems to me that if it is already freezing, the last thing I want to do is take my glove(s) off, stick my fingers in my mouth, and blow on them. On the other hand, I can take my plastic whistle out of my pocket, where it is semi-warm, and stick that in my mouth, even wearing gloves. That was I can blow my brains out while keeping both hands warm. But finger whistling could be a handy skill to learn anyway...
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OBG