Well, where I come from in western Canada, the parka business hasn't been doing very well for the past 15 years or so, and simple things like coffee or 5 layers of blankets just don't provide enough heat. So typically, in order to stay warm, we have to go out into our backyard and hunt some penguins.
Now, when using proper Canadian penguiin hunting techniques, nabbing one of those waddly-little hoseheads doesn't take very long. All you really need to do is cook up some poutine, and buy some Tim Horton's coffee and donughts. What my family typically does is break up a couple donughts and crumble them all over the poutine, and then pour the coffee all over that mixture to make it nice and chewy for the penguins (they love that). If you really need to get a penguin quickly, lay out a Molson Canadian beer, and those things come running. Literally. They stop waddling, and run.
Now, once they have fallen for your trap, take out your spear, and throw. Spear throwing typically takes years of practice for most Murikans, but most of my friends were spear throwing since grade 2. Unlike most people, whose fathers are lumberjacks- who of course, are good at throwing both axes and spears with incredible accuracy- my father is a fur trader, so he was out on hunting trips far up north quite often, and he didn't get to teach me much. It took me until grade 3 to be able to hit a beaver in the water with a spear (beavers are quite fast when swimming in the icy rivers of the Great White North), whereas by that time, most of my classmates were sniping flying Canadian Geese.
Anyway, once you've killed the penguin, take it back home to your igloo to skin. Now, it is best to get about 10 penguins if you want to warm yourself, but if you are lucky and have polar bears around, you only need about 3 of those. It's quite easy to reuse your beer and poutine/donught/coffee mix, if you are quick with your spear. Make sure to keep it hot, though, which is easy to do if you have spare blubber around.
Now that you are back in your igloo, have a beer for all your hard work. The Canadian women usually take over at this point, and are typically very skilled at knitting together penguin or polar bear blankets; my mother and sister combined could make 5 under an hour. Like I said, if you have 10 penguins, you should be able to make about that many.
Some of my favorite memories as a child involved coming back inside the igloo from a huge neighbourhood game of ice hockey (usually those were about three hours long; I know that is short, but we were kids, right? We couldn't take the average 8 hour games our parents would play), and I would crawl into the penguin and polar bear blankets my mom made on a regular basis. The sled dogs would be inside, too, having been busy driving my dad around to work. They would crawl under my blankets and suggle up against me, and I would enjoy their warmth. We would then order in donughts and coffee from Tim Hortons, which the delivery guy would bring in on his dog sled. We would sit around the fire, us hosers just enjoying ourselves in the cold. Yeah, I always loved August.
Anyway, that's what I usually did to keep warm. Everywhere else in the world that I've been, like here in Beijing, just isn't cold enough. I'm actually wearing a T-shirt and shorts right now, and dreading the summer... Although here, during the summer, the older men don't wear shirts either, so I fit right in, eh?