Baby, It's Cold Outside
Thickened fur coats help feral cats weather winter. But it’s equally essential that the shelters constructed to protect feral cats are warm, dry, well-insulated, and appropriately sized to trap the cats’ body heat and warm up the shelter’s interior.
Straw is the best material to put in the shelter, because it allows cats to burrow (don’t use hay as a substitute for straw; it may look similar, but it can irritate noses and cause allergic reactions). Pillowcases loosely stuffed with packing peanuts and shredded newspaper also work. Straw and newspaper should be replaced if they’re moist or dirty. Pillowcases can be washed and restuffed. Avoid blankets, towels, and folded newspapers, which absorb body heat and chill cats lying on them.
If it’s really cold where you live, you can augment the interior insulations listed above by “wallpapering” the shelter’s inner walls and floor with Mylar. It reflects back body heat, so it's OK for cats to lie on it.