If it's cold for you under your blanket then it's probably cold for a small animal outside. Some animals do what it takes to survive. They search for food, water, and shelter all day. Here are ways to make it a little easier for them.
Warm Shelters
Small animals like to sleep under the hood of cars to be near warm engines. Make sure to knock hard on your car before starting it up. Leave some shelters outside with hay or bedding for a safer shelter. Keep the shelter away from where the wind is coming from and leave it in places the sun hits the most.
If you live where there aren't many trees then resistant mowing the lawn or cutting bushes down. These areas can be used to protect animals who need extra warmth for nursing mothers or newborn babies. By leaving the task of tidying your garden borders and shrubs until early spring, a shelter can be provided for insects throughout winter.
Food And Water
The way to keep warm is to save as many calories as possible. Give animals they're own respective food choices. Take some of that money that was supposed to be for another string of lights and buy small bags of seeds and crackers for birds and small rodents. Don't continue this after the weather warms or leave out a huge amount of food. Animals can become dependent and this is only meant to aid them for a while.
Leave warm water out for animals. Try spreading out various buckets throughout the day. The warm water will take care of small animals to the biggest ones in your area.
Keep in mind that animals are built to withstand certain weather changes. They will probably make it to spring on their own but the extra help is appreciated.