Pretty straightforward question. The readme mentions how difficult they will be to kill, but nothing about looting them. Is it just not possible? Or do I need to get some cold resistance going before I touch them?

Ethereal creatures like Ghosts or Wraiths can be looted in the normal way.

You are probably talking about Spectrals (Warriors, Reavers, Wolfs, etc). For those there are some items you need first. A kind of undocumented questline. It is explained in the spoilers page, under Common Questions, the quest about Spectral Weapons.

http://devnull.sweetdanger.net/ooospoilers.html

Thanks Savlian

Actually I looked again at the monster that I killed : Ghostly Warrior, looks like he's wearing iron armor, dropped an iron shield, and an iron short sword.

Yeah, same rules for those. Ghostly Warriors are weaker variants of Spectral Warriors. Also note that following the questline Savlian pointed to will make it possible to do an additional OOO mini-quest which is unattainable otherwise.