G'day sprucee... welcome to the forums.
I know there are a few members here with much better experience of this area than I have, so I'm sure they'll chime in over the next few days to give more complete advice. But I'll get the ball rolling from the little I do know, and from rounding up some of the information already here on the forums...
Firstly, have a look at
this topic about the Blue Peaks walk (starting from Lake McKenzie, walking almost due south). It is close to Lake Nameless with similar terrain. Have a look in that topic for the post titled, "Easy but exposed", and read the next few posts. It explains how there are often no distinct landmarks in the area, and how the tracks are often not easy to follow, and once you get off the track, it can be hard to find again. Add snow to this equation, and you're going to want to be fairly sure of what you're doing to get around up there. Ie, there is a significant element of danger involved in what you're proposing, if you don't have enough experience, equipment, etc.
Having said that, I've
found my way to Lake Nameless when there was a little bit of snow around (via Higgs Track, not from Lake McKenzie). It was getting harder to follow the track the closer I got to Lake Nameless, and the deeper the snow got, but I'd done most of it before when there was no snow, so I had a fairly good idea of where I was going.
If you know the area well, and/or are good with a map and GPS, you could do well, but if you're not experienced or don't know the area well, I'd be very cautious about doing this in winter and perhaps try something more straightforward. I'd recommend that you go up there in summer first to get to know the area better. Having said that, the area is mostly flatish, so the walking itself is not hard. Note that if you do not have a GPS, and want to rely on a compass, be aware that the rock up there has a very high iron content which has a tendancy to screw with your compass.
Oh yeah... you need to cross the Fisher River at the beginning if coming from Lake McKenzie, and this may be impossible after rain or snowmelt (much of the winter). Also, if the Lake McKenzie water level is up, there may be some
difficult scrub bashing to even get to the Fisher River in the first place.
You can see some more information on this walk where I've been asking for help myself at
this topic.