
Helpful hints for cold people (things our mothers never told us):
1. Stay dry. Wet clothes are never gonna be warm, unless you happen to be inside a tumble-dryer, or hypothermic. In the case of the latter, you may want to consider going straight to #4.
2. Wear warm clothes - a no-brainer, to be sure, but you'd be amazed how many people wearing only a shirt or blouse on their upper-body complain about being cold. Wearing many layers creates an insulating effect. Wear structurally complex (wool) or space-age (polypropolene) fabrics, which also support and encourage insulation.
Still cold? Then read on...

3. Most of your body heat escapes from your extremities - your head, your hands, your feet. In particular, the masses of blood vessels near the skin in your head makes for a superb blood-cooling system - particularly unhelpful when you're cold. Wear a hat, scarf, gloves, and thick socks (or two pairs - see above re. layers and insulation).
If you're wearing a hat, scarf, gloves and good socks, and you're still cold after 15 minutes, there's something wrong with you. You may want to..
4. See a doctor. Doctors are qualified, experienced medical professionals who are well-qualified to diagnose hypothermia, and other terminally cold conditions; possibly equally as importantly, they are good at spotting temperature-related malingering, or "whinging" as it is commonly known. They will also likely have a supply of blankets - not to be underestimated, a good blanket - on hand which they can lend you. They also have the authority to order you to be rushed to hospital where your coldness will hopefully be fixed, one way or another, for good.
If you are in a hurry you can bypass the doctor, and rush yourself straight to hospital by ringing for an ambulance. Ambulance-men (also known as "paramedics") will also be well-endowed with supplies of blankets; if you're lucky they may even have those hi-tech silvery tinfoil-like blanket things which are even better, and have the added advantage, when you've got one wrapped around you, of making you appear like a piece of space-junk.
Good luck.