The best way to combat winter blues that I know of is to jump in the sea. I have been doing it for more than a decade and although it might not be for everyone I really encourage you to try it. In my experience it is important not to overcomplicate it. There is much talk of equipment and breathing at the moment, but in my opinion all you need is a towel and a warm cup of tea.
I prefer getting in at dawn or dusk, the bright light of noon is much too invasive. A sauna is nice but not a necessity, and really you do not need it to get warm again afterwards, your blood will flush and give you the rush you need. So find a bridge (shallow water is no good), strip your clothes off, get in and get high.