The climax in the cave was filmed eight months after principle photography was completed.
Nearly half of the scenes that featured Dane and Winter together were cut from the final version of the film. The bedroom scene and the final ceremony were replaced with the cave scene to give the film a punchier ending.
Principle photography began 9:00am PST on February 1, 2003, the same moment the Space Shuttle Columbia was destroyed while re-entering Earth's atmosphere.
There is an alternate ending sequence that was shot where D'Namra is possessed by the Demon/Winter. Dane fights then kills D'Namra and becomes allies with Sook. This is interesting since in the Theatrical Cut, Sook & D'Namra kill Dane when he is possessed by the Demon/Winter.
The original working title was "Winter's Rogue". During post-production it was changed to "Dead of Winter" for a short time until finally "A Damsel In Disguise" was chosen as the final title.