I have a 590 and am in Wisconsin be county I can relate to your cold concerns. I don't typically go to 500 but more "normal" smoking temps 225-350 are no issue even without a blanket.
The grill sits under an Amazon Veranda cover year round and has been great for 5 years. Temps are stable, wifi...
I would second this. I buy them from the local Walmart for a similar price. I tried some lumberjack pellets and didn't see enough (if any) difference to spend the extra money.
I use a veranda cover from Amazon. 35 bucks. Works great. Get the large size. Hopefully the link works...
Classic Accessories... https://www.amazon.com/dp/B0792SLVZY?ref=yo_pop_ma_swf