Depending on how cold the air is, liquid water, no matter how cold, could well be warmer than the air. If it’s -20 C and your fingers are white, it might be a good idea to see if you can find some water to “warm” them up to merely cold instead of literally below freezing. This is a trick you can use in frostbite prevention when you can’t get to warm shelter and you need to get your extremities warmer than the air right now, before they start forming ice crystals.
Same thing with snow. Getting a decent thickness (about a foot or two) of snow over your feet will provide some insulation. If they are cold enough to have shut down blood flow completely, the snow sure won’t be melting to get you wet and they might be warmer buried in snow than in your boots, depending on how good your sock and boot insulation is. These are probably not things you should do as a routine, but it just might save some toes or fingers if you’re really and truly screwed without good shelter or with substandard equipment and you’re in danger of getting frostbite.
Wearing clothes in a sleeping bag depends on the temperature outside, the insulation of your bag, and how your body’s internal thermostat tends to adjust while you sleep. I have a bag that’s supposedly good to -15 C, though I haven’t slept unprotected in conditions quite that cold.
I can’t wear anything more than underwear — no t-shirt or socks — in that thing unless it’s below freezing. I routinely used it to sleep in during my first winter here, where the temperatures inside the house were down to -12 C (colder than most of my tent camping, I might add). I made the mistake of wearing my usual t-shirt, socks, and underwear on a night when it was just below freezing (only about -1 or -2) and woke up a couple of hours later, soaked in sweat and shivering with incipient hypothermia. The rest of the night was pretty miserable as I’d soaked half the sleeping bag too. I had to make do with all my regular blankets instead, after I’d changed out of my wet clothes.
Something you need to remember is that the ground will suck heat out of you much faster than the air will. You need about twice as much insulation under you as above you if you want to stay warm. If you have a good sleeping pad — a full-length one is highly recommended in winter or fall — then that should be good. If you’re rough camping or survival camping, you need something between you and the ground, boughs with dry leaves or grass piled on top of them would work well. Anything that gets you off the ground and gets some air space or other insulation under you will help. All of your sleeping bag insulation gets compressed when you lie on it, so it’s basically useless by itself for protection from the ground.
I usually buy a fitted bag that’s longer than I need so that I can undress inside the bag and stuff the clothes down in the bottom. Keeps them a bit warm, and it’s not so painful to get out of the bag when you’re at least partially dressed.