We have camped in -20F weather but it's certainly a chore. If you have a full hookup definitely do the heated hose and add insulation to things like sewer pipes and maybe some skirting. And while it's common in warm weather to leave your grey drains open all the time and just dump the black occasionally, don't do that. A trickle of water in the sewer hose will freeze where a gush will make it fine, so always batch-dump.
But if you aren't on a full hookup I strongly recommend winterizing and dry-camping if you're going to be below freezing for more than a few days. It's just so much easier. When it gets that cold even things like generators don't want to run well - it was a chore every few hours to keep ours going, and you have to do things like change the weight of oil in it, etc. The more you're focused on "just staying warm" and less on "my dream house on wheels" the better.
One hard lesson learned over the years is to park on boards even if you don't think you "need to" (e.g. have 6-point leveling). What can happen when a storm moves through is the front edge gives you a lot of moisture but the ground isn't frozen. If the wheels sink in even a half inch or so, and then an extended freeze solidifies the ground, you can get stuck or worse do damage to your tires as you pull yourself out. It's not going to shred the tire but it can definitely cause more wear and cracking than if it hadn't happened. Obviously if you're on a concrete pad this doesn't apply.