Good insulation is not the only measure to keep your body warm. You must avoid getting wet from elements and from your own perspiration as well. For example, it is better to sleep in your bag naked, than in even slightly wet clothes. The common sense is telling you that the less holes your shelter insulation have - the warmer it is inside, however, the condensation of water vaporizing from your clothes and your breath may ruin your insulation severely when it starts dripping from your bag/bevvy/tent internal walls in the middle of the cold night. Always leave a small regulated opening to prevent that. The heat loss will be minimal. That stands for your warm clothes as well, Make sure you can vent them (if you cannot just take off a layer), and do it periodically, to avoid sweating while working in cold weather. Dry your clothes/boots outside the shelter (or make a separate one for them if it's wet outside).
The mental part is also important. Human body is okay in a surprisingly wide range of temperatures. So, when it feels "freezing cold" - you are not necessarily on the edge of hypothermia, and in reverse: on the edge of hypothermia people tend to feel warm and cozy. So, a thermometer is mandatory in cold weather to make realistic decisions.
By the way, MIT folks have invented
an interesting and simple technique to regulate the perceived cold/warmth using a peltier element affixed to the subject's wrist (like a watch). The element is regulated by the computer program, which produces short pulses of small heat waves (like applying 0.1C every second for a second), making you feel several degrees warmer overall. They have no idea why is that working, but I have. That's simply an acupuncture massage of some sensitive spots on the wrist, which has a warming effect (Speculating: most notably there is a major point, activating lymph nodes, right in the middle; perhaps, activating the lymphatic system we are burning more fuel as well as initiating transfer of that additional heat through the lymphatic network?). I have tried it with typical acupuncture techniques, and it seems to work. So if you feel cold, but the air temp seems Ok, and you are not wet - try massaging your wrists on the inside periodically with warm fingers or the palm of your other hand.