The very worst thing to do is precisely what you see some homeless people do, which is to drink alcohol. It's temporarily soothing and warming, but your body loses some of it's ability to effectively regulate temperature. The people I saw in the worst trouble when I walked the streets were those who drank heavily.
Strange how I didn't comprehend at the time that my extreme hunger over winter could probably be correlated with the cold and burning more calories to deal with it. Thankfully compassion increases during winter and food is slightly more readily available.
The only other thing I'll add is shoes. If your feet are warm when you're walking your 30 miles a day (what I believe I averaged through rough calculation) then you feel warm. Cold feet and you feel freezing. Good boots, thick soles, are a blessing and felt more valuable to me than a heavy coat.
Actually, another thing. Wisdom says to layer, but if you're not actually mobile much overnight I always found fewer thicker layers to be better. i.e. a thick cable-knit jumper trumped multiple thinner layers. I suspect layers are really the solution for highly active people such as skiers, runners and so on, but if you're immobile in the cold a thick jumper helps more.