The Game protects you from insulation for the first few days, this protection is more for the easy setting and less for the hard setting.

Carrying a torch creates heat, Standing around near a fire, furnace, cauldron etc. also creates heat. You should target getting better armour and drinking lots of water.
You can see the insulation and temperature settings on the first tab of your character screen.

Better / higher level armour is important, It maybe that once you learn the basic mechanics you may want to start again as you need to use early days productively to prepare for later days (particularly at night).

Hope this helps.

If you expect i'll buy your another game like this one with such mechanics you fail.
There are better game to play on Steam. This game is not fun.

It's like jug : i drink water and i don't get back empty jug. I never saw character eating jug when he drink.