I'm not in a cold climate at all (once it his 40 and windy I'm all "woe is me, I'm freezing") but another thing I do is have a small throw blanket. I like covers on my shoulders, but can't do that with a baby. So I have the comforter at the proper spot, but put my soft throw on my shoulder and my top arm. Since I'm on my side, the other arm stays warm.
Mom to a girl - 5, a boy - 4, and Baby - 21 months