re: "...this freezing cold weather my 240 wagon has ... small problem with the kickdown cable sticking. If ... the car does this -- what is the best way to stop...? Turn the car off? Shift into neutral and use the brakes?..."

Do you really mean the throttle cable, or the kickdown?

If the kickdown, what's the problem with the "sticking"? What is sticking? Does it downshift and stay in a lower gear without shifting up again (as if you've kept your pedal mashed down on the floorboard)? If it does stay in a lower gear, then you just have to lift off the gas pedal -- being in lower gear, you'll slow down even faster than in a higher gear.

But if it's the throttle cable that sticks (i.e., the engine is staying at high rpms), then you've got a more dangerous problem. The brakes should overwhelm the engine, but that's a lot of resistance to overcome, and will require a very long stopping distance.
1) If you shift into neutral, your engine may overrev (bad for the engine, but better than a crash).
2) If you shut off the engine, then be prepared that:
___a) during a long, high speed stop, you are gradually going to lose power assist to your brakes (vacuum in your booster will diminish), although if it's in good condition, you should have enough reserve to stop once without a substantial drop in effectiveness. You will also totally, immediately, lose power assist to your steering, and you should be prepared to anticipate the maneuvers you might need and plan more gradual steering than you might otherwise employ, but while at speed, the steering won't be too difficult (it will get harder as the car slows down).
___b) but more worrisome, in a panic you might turn the key too far, and inadvertently lock the steering wheel -- you must remain level-headed, and turn it only far enough to kill the engine, no more.

Until you can get the cable properly fixed or replaced, you might want to lubricate it with some transmission fluid (it's an adequate lubricant, but not as prone as oil to collecting dirt, and is often used to lubricate throttle linkages and similar moving parts).