Day 1 Warmth Guide for me:
Go outside the evac shelter and get 3 rocks, come back in, make a stone hammer then make a stone knife. Bash the benches to get splintered wood and two-by-fours. Make a wooden needle. Tear down a curtain, disasemble the long string. Then disassemble 4 of the small strings. Grab the 200 thread and load your needle. Take the sheet from the curtains and cut it up for rags, both sheets if you want to. Equip the stone hammer and smash a locker, bend the 1 pipe you get from that into a makeshift crowbar.
At this point, you may have to go beat up a zombie and practice your tailoring on their discarded clothing, if not, start (a)ctivating your needle on your clothes until they are reinforced. By now you should be able to make a pair of stockings, a wool (knit?) cap and light gloves.
That should get you started for now, go use your crowbar as a bashing weapon and smack around some zombies. Cut up any tennis shoes or boots you find to get leather and upgrade / add onto your hands some leather gloves or leather gauntlets when you can. A balaclava should be gotten as soon as possible, though mouth coldness doesn’t do that much harm, only slows you down a little bit. The rest of you should be warm enough. A bandana helps, but barely.
Sleep on blankets and old clothes or raid a house with a stone fireplace and keep warm with a fire (Lighters and Matchboxes seem plentiful)