Forget bringing warm clothes, you can find better and warmer stuff when you get there. If you looking at out of state hunting and fishing licenses consider Minnesota and So Dakota. Prices may be more friendly. I know So Dak has a long pheasant season. Try ice fishing, either making friends with someone who has a house or buying a tent.
Keep a positive attitude, people live in the North because we love it. Learn to say hi to people. Embrace the quiet. I took the grandkids and wife to Orlando this spring. It was loud from the moment I walked into Bozeman airport until we left it and went to the car. Between people, air conditioners and vehicles I about went nuts.
Keep an emergency kit in the car, candles, blankets, 2 good flashlights and some snacks. Hope that you will never need it. If you're driving, stop somewhere in Ohio and empty your windshield washer fluid by just running it through the washers. Replace it with stuff rated for -20. Congratulations on what should be the start of a great adventure.