On an 11-degree morning, Guillermo Santiago stood on his front porch on the backside of Mount Washington, and despite the bone-rattling, lung-burning cold air, he had sweat on his mind — as in breaking enough of one to stay warm, but not so much that it would cause him to freeze, either.

This is the challenge for a bike messenger in Pittsburgh on winter days when the plunging mercury and the city landscape resemble something beyond the wall on “Game of Thrones,” as has been the case during this recent cold snap.

“The biggest issue is staying properly layered up. You’re going in and out of these buildings, and as soon as you go in you start getting drenched in sweat,” Mr. Santiago, 28, said Sunday. “Finding the balance with just the right layers to stay warm on your bike, but not be unbearably warm indoors.