Correct!
You're right, it is considered to be impolite to have your hands in your pockets when giving or returning a bow to someone. Your hands should be either at your side, or for as often for women, on your thighs with the fingertips either touching or overlapping. So no matter how cold your hands may be, get them out of your pockets! This may pose as some difficulty for many people from the states, especially if traveling to Japan. Having your hands in your pockets is a way of unknowingly displaying your insecurities. Insecurities that are often present when traveling to a foreign country faced by many unknowns. You will need to make a conscious effort to ensure you are not insulting someone by having your hands in your pockets.