I'm not an engineer in thermo-dynamics (but I did stay at a Holiday Inn Express!!), but I don't think a wool sock is going to make a difference with your club heads. Unless there's a heat source inside the cover (I suppose a hand-warmer might help), the wool sock has no heat to keep the club head warm.
Keeping the balls warm might be the best bet. There's a lot more flex going on with the balls than with the clubs. As for range balls, you'd probably have to drop them in a bucket of very hot water to warm them up. Hand warmers won't generate enough heat.