I'm in PA and this will be my first winter with my FZ8, but I've always used a good Dowco cover on my old Honda and the only thing that ever happened was the 35 year old vinyl seat cover started to split at the seam. I can't say that it was directly related to the cold since it was really old, untreated vinyl, but who knows.
I also try to knock the snow off of it so that it isn't buried in the cold and the sun can help dry it out a bit. I'm not sure if this is really all that helpful, but that has been my experience.
A little off topic, but if you are storing it, make sure to run a good fuel stabilizer through the system so that it doesn't screw anything else up and get a battery tender. I've replaced so many batteries because I still haven't bought one.
I may buy one of the solar battery tenders and run the wire through the "vent" hole in the cover so that I don't have to actually remove the battery.