Straw bale is generally favored over cob in cold climates, but don't let that stop you. If you have a nice area for passive
solar heat I would even recommend it.
Where in Montana are you located, I have a cob house in the Bitterroot Valley and it is fine, but small so there isn't much space to heat. If you build small and with an efficient stove you
should be fine, cob walls won't insulate you very well, but they can hold their heat. My house is around 400 square feet and is heated with a
RMH stove with 20 feet of bench. In general the house likes to stay between 58-60 on really cold days, but the bench stays nice and toasty.