Been done: Electronics in a balloon or covered in plastic that won't melt.
My suggestion: Waterproof box with o ring seal like nitros use. Fabricate a motor cover or splash guard.
The ESC is by far the most critical - it handles all the current and is intolerant of shorts - can fry things. Motors can take a lot of abuse by comparison. Receiver in between - least heat generation = easiest to put in a balloon. Batteries - important. A short in NiMh2 or Lipo can result in a big boom or flash fire. Shrink wrap whole packs, all connections, leave no gaps for water to enter.
Don't listen to people who say don't play in snow, if you really want to play go ahead... just as long as you understand, maintenance will be higher than in cleaner/drier weather.
You will have more rusted bearings, etc. especially, really really especially, if you play where salt is put down. Stay away from streets, walkways and driveways if you want to avoid salt - play in the park or track or BMX park. Clean and lube bearings more often will make them last longer. Cleaning and lubing bearings every play day would not be a bad idea. At least the bearings that are more exposed, even if you just hit them with motor cleaner or buggy blast and drip some lube in without removing them, with all the bearings you can reach.
Cold = more brittleness = parts break easier. Nylon is a tough material but it does increase in brittleness, less able to handle impacts but it is still functional even down to -40F / -40C. I know because they test impact resistance at that temperature in labs and I've seen numbers - at least for glass filled nylon it only loses a fraction of impact resistance but holds up better than you would think.
PS enjoy ! Snow driving is a blast ! At least until you get tired of cleaning up bearings and whatnot - then before you know it spring is here anyway.