Air layering in winter is not recommended...

But I want to try it!
Why?
Time and comfort.
Winter is a slow time and for me, working in the cold is more comfortable than working in the heat.
Plus a naked tree is easier to access.

I would leave the layering on till the following fall, then plant it out or pot it up.
I figure the worst that will happen is the tree self prunes the part above the layer.
If nothing else I will have time practice my technique at my leisure, and I can always do more come spring.

I think I'll bring some potting soil inside to thaw out, I might even sanitize it with some boiling water.

One of the things I try, although I don't start them in the winter, is I take a branch that's very low to the ground, feed it through a triangular slit I make in the side of the pot about 1/3 of the way up, and pack soil around it. If it has enough flexibility, I have the pot sit on the ground or even be mostly buried in the ground. This helps to keep the soil from totally freezing for most of our winter.

I don't think this is what would officially be called air layering, but it has the same effect of encouraging the plant to start putting out roots inside the pot. The few times I've tried to air layer in the summer, I found it impossible to keep the soil inside the pouch consistently moist. I think that part of the issue was that this method uses a very small amount of soil, likely 1/10th of a #10 pot, and that we have dry summers.

So I suspect much will depend on your ecosystem and exactly how you set up your experiment. I will be following this experiment with interest!