If its white smoke, its water. If its black then I would probably believe its bad valve seals. However, the fact that you only see it on cold days makes me believe it is Condensation.
2006 F150 Lariat SuperCrew 6.5ft bed, 4x4, 5.4L, 3.73LS rear, G-Force True Ram Air Hood, Zone 4" Suspension Lift, ATX Artillery Chrome Rims 18x9, Cooper STT Tek3 325/60R18, Westin Ultimate Bull Bar 3" Chrome, Edge Evolution Power Programmer, Custom Side-exit Exhaust with Dynomax VT muffler, plenty of Chrome and Custom Stainless Steel Accents! My Mod Thread Confused about Tire Sizes?! How Much Air Pressure Do I Need?