what oil to use in winter?

Rotella is good. If you are not already using synthetic, I would switch to it for all year use.

I would want a 5WXXX or 10WXXX where X= 30 or 40.

That first number is the weight when the engine is cold. In your case it is very cold. 5W oil will provide better lubrication and less resistance. The second number is the thickness of the oil when hot, then you want something a little heavier. In the summer your 15W-40 is fine, but in the winter first number smaller to allow for the colder temperatures. In the winter your engine may not get fully warmed up. In that case you also want that second number smaller, but not too much so. 30 would be a good choice.

Two additional things that could help are a battery blanket and a trickle charger. Run the single wire from the extension cord out of the grill and plug it up in cold weather.

You misquote.