The process by which the body makes heat is called “thermogenesis” and the process by which the body regulates heat and cold is called “thermoregulation”. What you eat impacts this greatly, first of all because thermoregulation takes up 2/3rd of your calories.

But what you eat, not just the amount, determines the efficiency of this heat generation and there are things you can do to optimize this. In short, the combination of chili peppers and coconut oil upregulates thermogenesis. You’ll be warmer if you eat these than if you don’t.
Coconut Oil and Chili Peppers Together Increases Thermogenesis Leading to Weight Loss Clegg ME, Golsorkhi M, Henry CJ., PubMed.gov http://www.ncbi.nlm.nih.gov/pubmed/23179202#sthash.7DjktjJ0.dpuf

This also has the side effect of reducing belly fat.
Effects of Dietary Coconut Oil on the Biochemical and Anthropometric Profiles of Women Presenting Abdominal Obesity Lipids. 2009 May 13, Monica L. Assunção, Haroldo S. Ferreira, Aldenir F. dos Santos, Cyro R. Cabral Jr, Telma M. M. T. Florêncio http://link.springer.com/article/10.1007%2Fs11745-009-3306-6

Virgin Coconut Oil and Weight Loss: testimonies http://coconutoil.com/coconut-oil-weight-loss/
There’s one more thing you can do. Many people today take vitamin B3, Niacin to reduce cholesterol, it’s the only compound that’s ever been clinically shown to reduce cholesterol. This comes in two forms, “non-flushing” and normal. The normal type produces a short lived flushing of the skin that turns it red. It’s definitely warmer and does make you somewhat more immune from cold. Given it’s fundamental role in ATP synthesis that can hardly be surprising.