Daven Hiskey doesn't recommend it:
When you have a drink, the volume of blood brought to the skin’s surface increases, making you feel warm. (That dilation is why slightly or exceedingly intoxicated people look flushed.) This overrides one of your body’s defenses against cold temperatures: Constricting your blood vessels, thereby minimizing blood flow to your skin in order to keep your core body temperature up. … According to a study done by the Army Research Institute of Environmental Medicine, drinking alcohol in chilly weather also reduces the body’s ability and tendency to shiver, taking away yet another method your body uses to help keep warm when it is cold.
Bottom line? The age-old practice of drinking alcoholic beverages to keep the body warm in cold weather is the exact opposite of what you should do.