If the cold snap has you just now thinking of winterizing, you first need to find where cold air is coming in.
A good way to start is with a stick of incense. Light it and hold it along the edges of windows and doorways. Even the slightest flow of incoming air will affect the stream of smoke.
Caulk any gaps you find; if old caulking is badly cracked or chipping, scrape it away and apply new caulk. Baseboards, door frames, windows and storm doors are all possible locations for leaks. Especially storm doors; they're the first line of defense against cold air. Weather stripping placed along the bottoms of doors will also stop the air flow. And there's a thin foam insulation that goes behind electrical plates, also a location for incoming air.
Run appliances that generate heat, such as a washer or dishwasher, during the colder evening hours. Open curtains during the day, and let the sun help warm a room; close them at night — and here's where thick, lined draperies come in — to retain heat.
Change the filters in your forced-air furnace. And reverse the rotation on ceiling fans to create an updraft that allows hot air to circulate.