Look at Home Depot or Lowe's , there are mail slots made with keyed locks. I'm not sure how much winterizing you can do on a mail slot.

http://insulateddraftdodgermailslot.com/DRAFT-DODGER-ELITE-INSULATED-MAIL-SLOT.html

Adding a box to the door behind the slot might help with drafts. A DIY wooden version of this might help.

http://www.americanmailboxesusa.com/pics/SalMDReceptacles.jpg

I used to live in Minnesota and when the winter comes the freezing air drafts are awful we used to put a cloth in the slot till my brother found a product online, it was really helpful, it did reduce the air drafts a lot and it also helps you catching your mail, it's really easy to install and it's really pretty, it's called Snail Sakk this is the link where you can take a look at it: https://www.houzz.com/products/snail-sakk-mail-catcher-for-mail-slots-tan-prvw-vr~19472767

Cheers mate, i hope it heps you!