Yep, I've done it. New Years eve, Y2K. 10 above. A hole in the ice with a stout branch laid over it to hold onto. Stripped naked. Plunged all the way in while holding the branch. Warmed by dancing around a large bonfire (naked) afterward. The worst part was my feet. They got cold standing on the ice.
This was not a nudist event. The first two or three went in wearing shorts. A woman friend and I dared each other to take the plunge nude and we did. I'd much rather take the plunge nude than get out afterward with drippy shorts. Besides, what would I do with soggy shorts afterward?
There's no reason a group of hardy nudists couldn't organize a similar event. I'd recommend bringing along sandals or crocs and building a bonfire for warming and drying afterward.