Cold will kill you a lot quicker than dirty air.  Before the tobacco Nazis got themselves involved, the insurance companies had smoking figured in the actuarial tables.  The worst was to remove around 11 years from your average lifespan.  In contrast, a drug addict would lose around 30 years.  Get too cold, and you are gone in a matter of hours.  Fall in icy water and stay there, the time of useful consciousness shrinks to seconds.  

If it were me, I'd stay warm and stay alive as it will allow time to figure out how to clean up the air.  Cheers -