Stay warm with clothes, heat sources, or shelter, without them, you’ll take damage. Heaters give cold resistance but don't last long, so bring extras. Use the bottom-left icons to track Body Warmth, Health, Hunger, Energy and Stamina.
Watch the icon in the bottom-left corner, it shows the current area temperature. The shield icon next to it shows your Body Warmth, which starts to drop if the temperature falls below it.