The answer is yes, but it is more effective wrapped around you loosely, more like a tent than a blanket.
(Nice time to be wishing you had stuffed that old snow suit, warm booties, a pair of mitts and that polyester toque in a bag in the trunk. A couple of those candy bars out of the glove box would sure taste good now too, if the kids left you any...)
Cardboard is an effective insulation too. I use it to line the bottom of the trunk in my car anyhow. (It keeps the carpet cleaner)
A couple of layers under you and the rest in the window, it makes a difference.
Keep an ear out for the snow plow. They have been known to hit cars that are stuck in snowdrifts.
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May set off to explore without any sense of direction or how to return.