I live in MN and do it all the time. Temperature can get as low as -30F where I live. I find it easier to keep warm while walking than biking, especially my hands and face. Just make sure to dress warmly, and don't get into a hot shower as soon as you get home.
More MN checking in. Throw on a hat and jacket; you'll be fine.
Third Minnesotan here. I walk daily about 1 mile to work. I wear appropriate clothing for walking (base layers, normal layers, extra layers), but I have learned my limit is -10 (air temp or temp with wind chill). Anything below that, and my husband worries about me, so last winter when it was actually that cold in the mornings, my husband gave me a ride to work and I walked home when it was warmer (sunlight helps a lot--I usually get work between 7:00-7:30am and it's dark then).
I would suggest trying it when it's still relatively nice out, and finding out what your limit is. The worst thing that can happen is that you learn your limit is 0 or something, and then you have an easy determination every morning for whether or not you can do it that day.
For me, it's not so much about the savings--I mean, for me, it would be a 5 minute drive, but I'd also have to scrape my car for frost or clear snow, which adds time and nuisance factor. For me, it's more about the exercise and it helps me wake up mentally, and I find walking to be relatively warm--I walk at a brisk pace.