I got a call recently from a fellow climber who was engaged in a debate on the relative merits of voiding before sleeping as the act pertained toward heat loss. The fellow was looking for some research to settle the debate one way or the other, as the mountaineering community was split over the issue.
I can see how this argument might rage while snowed in on an Alaskan glacier for a week, but it's a bit harder to see how it could continue to be interesting once normal activity resumes. These people must have bladders of steel to even consider the issue; for my own part I would rather take my chances with cold than stay awake with the strain of a too-full bladder.
The argument, I suppose, is that the heat contained in urine is better kept inside the body. Since it is normal practice to void into a plastic bottle when staying in a snow cave, then one could simply cap the bottle tightly and keep it inside one's sleeping bag to get the best of both worlds. But really, the heat lost by a liter of urine, as it cools from 37°C to 0°C, is only about 37 Calories (large "C" as in food calories). That's only about one or two bites from a chocolate bar. If you're that close to the edge, by all means hold your urine close, otherwise, don't sweat it.