Yeah, I've heard that Rabbit Diesels need to be plugged in when it's 32 out. Mine does fine, it's just that I take a short trip in the morning, so I plug it in to ease cold starting wear and tear, and also so the car is hot when it is time to shut it off (about 15 minutes tops, mostly Idling)!
Though wind chill does not affect your car. It could be (if it were possible) 30 degrees out and a wind chill of 20 below, the car will not act any different. But I know what you mean, it was pretty cold.
I'm just so happy how easy it starts, last winter was hell with dead GPs!