Keep in mind that most of these techniques assume dry weather. If it's raining or snowing, the steps are the same, but you'll have to do them inside your tent or vestibule. It is also assumed that you have a sleeping bag rated for around the same temperatures you're likely to be experiencing, but the techniques demonstrated here can give you some wiggle-room with that. Remember: being prepared is always step one.
As always, anyone see something I'm doing wrong, could be doing better, or should be doing that I'm not, let me know!
Also, with the exception of the two intro pics, they're all staged on a closed course by professionals, but rest assured that these techniques do work. Hopefully, they'll help you get a better night's sleep, and in doing so help you better enjoy the great outdoors.
Step 1: Put on Your Fly.
The fly also provides a vestibule, which is an extremely useful thing to have, especially in windy or rainy situations.
On the downside, it does block your view of the stars, but I can forgo marveling at the majesty of the cosmos if it means not freezing to death.
Step 2: Use a Pad
But when you're in extremely cold conditions, and especially when sleeping in the snow, it's a must. This Big Agnes pad is my favorite, though it takes about a half-life of plutonium to inflate, but virtually any pad will do. Closed-cell foam is obviously better for hiking in areas where punctures are a risk, and many prefer the convenience of self-inflating thermarests. As long as you have one, it doesn't really matter.
Step 3: Dry Off
Well, unless his boxers are full of dry ice, obviously, but it's a good rule of thumb. Before going to bed, make sure you're dry. If you just got done hiking, you could be covered in sweat, or if you washed your face before bed, you might be wet as well, though admittedly cleaner. Do what you can to get dry. If your clothes are damp, switch into a dry set.
Step 4: Dress Warm
However, I must maintain my position, due in no small part to the excellent links provided by the thermally impressive gmoon, particularly this one.
I recommend a synthetic fleece vest or wool sweater and a knit cap.
The vest is light, dries quickly and is quite warm.
The sweater is even warmer and in my experience slightly more compact than fleece for the same amount of warming.
Both remain fairly insulative even when damp, unlike cotton sweatshirts which are literally worse than nothing in wet situations. Though I prefer the wool sweater overall, synthetic fleece is nice in that it absorbs almost no moisture, whereas wool takes on the approximate density of depleted uranium when it comes in contact with water and is very reluctant to dry. One other noted difference between the two is that wool is all but fireproof, whereas any synthetic cloth is prone to burn quite easily and melts while burning as well, adhering to skin like overpriced napalm. While this is usually a minimal hazard, small sparks from a campfire are notorious for burning little holes in synthetic clothing.
The hat is amazingly warm, and while I usually use wool knit, synthetic is also excellent.
I should also add that the inestimable zwild1 reminded me of the importance of the bag liner. This is a cloth (I use synthetic fleece) liner which goes inside your sleeping bag. It can improve the rating significantly. Good suggestion!
Step 5: Get Warm Fluids Into You
Step 6: Get Warm Fluids Out of You
Step 7: Make a Hot Water Bottle
Many people have suggested the use of rocks instead of a water bottle, but believe it or not, water stores more heat at a given temperature than stone. The measurement of how much heat a given volume of something stores at a given temperature is called volumetric heat capacity, and water's is about twice as high as granite's. To put it simply, if you heat a liter of water and the same amount of stone to 212 degrees Fahrenheit, the water will release about twice as much heat as it cools to the ambient temperature of your bag.
Step 8: Sleep Tight.
Of course, if you've followed these instructions and aren't at a polar research station, that's not likely to happen. Most likely you'll awake in the morning, refreshed, ready for a new day, and contemplating whether or not you'll survive the shock of transition from the warmth of your bag to the frigid hellscape of the tent.
I hope this has been useful. Good luck!