Yep, dry paper traps "dead air" and is an excellent insulator. Stuffing your clothes is efficient, but also sends the "i'm homeless" kind of message. You can use them as ground sheets. If it's really cold and you're standing still, standing on a newspaper is very much warmer than standing on the ground. (Old tricks from those days people actually went to outdoor skating competitions and watched for hours...).

But the newspaper must be dry! Any moisture and your insulation material is just a cold pasta seeping down...