Sleeping with your head under the quilt/sleeping bag might be required (instead of freezing) but shouldn't be the normal plan.
I read somewhere that in the long run (overnight) while your face is warmer, the increased humidity under your quilt will actually cool off your entire body. Not a big deal if your quilt is rated much cooler than the temps outside, but could be a problem if your pushing the quilts temp limits.
I frequently wear a thin balaclava. As the temp falls, I'll add a knit cap (+ the balaclava) and then replace the knit cap with an insluated hood. Finally (below 5*F) I might consider tucking my head under the quilt...but only if I keep the balaclava up and covering my mouth to limit condensation
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