The main thing to worry about is protecting your camera/lens from excessive condensation. This will occur whenever a much colder item is moved into a warmer environment.

Understanding why this happens is the key to preventing it. Condensation occurs because cold air is unable to contain anywhere near as much vapor as warmer air. When the warmer air comes into contact with a cold surface, this surface cools the air. Unfortunately, warmer air contains far more water vapor than cooler air (at the same humidity). If the cold surface causes rapid cooling (and/or the humidity is high in the warm air), then the cooler air will be unable to still keep all the water as vapor -- causing it to condense out as droplets on the colder surface.

Condensation is much more pronounced for camera lens elements (and anything else metal or glass) since they have a much higher thermal conductance. This means that metal/glass cools air which comes into contact with it much faster. The camera sensor and other internal electronics also have high thermal conductance, but they are a little less susceptible since they are not directly exposed to the ambient air. This results in a buffer zone of air with an intermediate temperature within your camera body. If this buffer air is completely isolated from the outside air, then condensation will not occur. Sadly, this is rarely the case with all but the most weather sealed cameras/lenses -- meaning that internal condensation can still occur for high humidity or large temperature differences. This kind of condensation is particularly problematic because it can take a lot longer to dry out.

Fortunately, there's an easy way to prevent camera/lens condensation: *before* taking your camera/lens into the warmer environment (aka indoors), place all items within a plastic bag and ensure it is sealed airtight. You can then take these sealed bags indoors, but you have to wait until everything within the bags have become thermally equilibrated with the indoor temperature before you open the bags. For large camera lenses with many elements, this can take 30 minutes or much more if the outdoor temperature is very low. The process can be accelerated substantially if you first remove the new camera and/or new lens from their boxes, before placing them in the sealed plastic bag.

However, condensation is not necessarily the only worry. If the temperature of your camera and/or lenses change very rapidly, then they will unavoidably undergo thermal expansion (when going from cool to warm). The problem is that glass lens elements, plastic, rubber and metal all have different coefficients of thermal expansion. This means that they expand/contract different amounts for a given temperature change. Ordinarily this should not be a problem since a good camera manufacturer accounts for a reasonable range of operating temperatures in their design. The precise position of infinity focus will noticeably change in cold versus warm weather, for example, but this never noticed when using modern autofocus mechanisms. To me, thermal expansion seems like it could only be a problem in the context of lens/focus alignment -- if somehow the position of elements moves permanently (relative to the lens encasing) as a result of some drastic and rapid temperature change. Never heard of this being a major issue though. Just make sure that you do the "bag trick" above, and it will have the side effect of also dramatically slowing the rate at which your camera equipment warms up. As long as you prevent condensation I would not worry about this second problem.