I used to live in an apartment with really bad insulation. In order to compensate, here is what I did:
* Thermostat - keep it low. I usually kept ours at 62 degrees, which is about the coldest my wife could stand. Wear a sweater, warm socks etc. to keep warm throughout the day. Buy a nice thick blanket to throw on top of your other blankets for when you are sleeping.
* Window covers - make sure they are extra tight using the blowdrying method to get out any crinkles. One kind isn't better than the other as far as I can tell; the main important thing is keeping the seal tight.
* Under door draft protection. They slip under the bottom of the door and form a barrier on each side. These helped quite a bit more than I had expected in keeping out the draft.
* Heavy curtains on the windows. Many department stores will have heavier curtains you can buy which help better to keep out the draft. Keep them open in the day to let in sunlight, closed at night.
* Baking - best time of year to work on your baking skills. Warms up and feeds you at the same time - it's a win / win.
* Computers. When it's nice and chilly makes an excellent time to overclock your computer and stress test. Given that I have a server running 24/7 in the winter months, my room rarely gets cold even with the thermostat set on low.