Give your dog somewhere decent to live.
In a shed outside or on your bed? Sheepdogs are amazingly tough creatures, many dogs have virtually no shelter at all - having to find a dry corner somewhere on the farm or maybe having an old steel drum as a shelter from the elements. As long as your Border Collie isn't in a draughty or damp place, you needn't worry too much about it being cold.
Collies will often lie outside in the dead of winter - especially if there's the remotest chance of a trip to the sheep. We used to take our dogs to their training in a small trailer because our field was several miles away. Given the chance, Glen would spend much of the day lying by the wheel of the trailer - sometimes with the snow drifting right over him (very worrying the first time I saw it).
Most handlers would rather give their animals something far better - and some straw or a fleece as added insulation in winter is ideal if the dog wants it but we've discovered over the years that dogs are often happier with no bedding, so we tend to give shavings to dogs which are on concrete and often no bedding to dogs which have a wooden floor to lie on.
Border Collies love to mix - they're pack animals but having started off with the opinion that we want our dogs to have lots of fun, we believe it concentrates a dog's mind if it's kept on its own. It can develop its own characteristics that way and not pick up too many vices or be oppressed by its room-mates.
A live-in dog's a companion and of course is likely to be house trained, whilst a dog which lives in a shed outside can have its own space. If a session has ended badly, the dog can get away from you and relax. It's less likely to develop bad habits and possibly more likely to be confident enough to work further away from you. Wet and dirty dogs are not a problem if they live outside - sheepdogs smell! Among other things, they love to roll in the most disgusting things imaginable. If your dog lives out in a kennel or suitable shed, you wan't have to bath it whenever it gets plastered in something horrific.
Temperature might be a consideration. Although sheepdogs are amazingly hardy, a dog which lives outside can adjust to the seasonal temperatures and always be ready to work, whereas (I imagine) it might come as rather a shock to the system for a dog which lives in a centrally heated house and then suddenly has to go outside on a bitterly cold night to round up some sheep which have escaped (but I no evidence to suggest this might be factual, let alone harmful to a dog)..