If I had worn thermal underwear and my parka I might have been able to stand the freezing temperature. I will think twice about coming again although I did enjoy the show. I don't think I have warm enough clothes for that atmosphere.

You posted this as a question, I'd delete it and try again as a review. Although I didn't have a problem with the temperature.

Or a seat under the balcony also stays quite comfortable.

Try the mezzanine! Because the space is so tall and heat rises the balcony gets very warm. I prefer the temperature down in the orchestra but if you're very cold I'd try heading upstairs. I'd even argue to say that the balcony is better seating to view the shows!