What kind of hunting are you doing when you get cold?
Presume stand hunting?
Get a small propane heater as mentioned, or get a heaterbody suit and/or if it's bitter cold do both. If you don't want to spend the coin on the bodysuit. Buy an old sleeping bag and crawl into it while on stand.
Just don't wear too much while walking in so you get sweated up.
We may sit for an hour or several and then move and do it again. Open, rocky country. We have set up a blind with propane on particularly nasty days. A permanent blind looks better every year. We generally spot the elk and then decide how to handle them. We have never shot from where we spot.
