I asked this question of the WW2 veterans I interviewed from the 101st Airborne. Fall in the Netherlands was bitter cold and wet, and the winter in Belgium in 1944/45 was the coldest on record in decades. Tricks were using hay on the bottom of foxholes or inside the side banks of dikes in the Netherlands, or using the felt liners from parachute bundles or parachutes themselves as the buffer between their bodies and the ground in Bastogne. One wool blanket on the ground, and one around you. Additionally they would be wearing wool long johns and socks, wool pants and shirts (often 2 sets) and an outer layer jacket and pants of sateen cotton duck material. Wool scarves, beanies, and gloves. 2 or 3 bodies in the holes also helped with warmth. A good layer of dirt on the skin helped too as washing up and clean skin and pores made you colder.
It was all from growing up in the depression, 75% of America was rural back then and people hunted to survive, slept at job sites, families sometimes lived in the back of a car or truck, all in one room, or in one tent. One Vet I interviewed had his mother mail him a horse blanket and a few giant horse blanket pins. He folded the horse blanket in half and pinned it, then got inside with his blankets and said he was the warmest guy in the company that way. And he grew up in the sticks outside Scranton PA.
These same guys came back to the US and would hunt using surplus USGI sleeping bags inside canvas pup tents, and place a wool blanket below the bag as a barrier. And still layer with wool. Layers and insulation back then, layers and insulation now, we just have better materials today for the same theory. They were tougher back then but did not know it.