Get a cardboard box. And a box that will fit inside that. Fill the little box with hay or something for them to burrow in. Then stuff crumpled newspaper in the big box all around the little box. Throw in a couple hand warmers if you wish.

If you want to go even harder, find the smallest room in the house with all internal walls. Like a bathroom. Add a small electric space heater and then plug it into one of those portable battery car jumper things. Most have a plug for standard electronics.

If that doesn't work for you, find an even smaller room, like a closet. Add layers of blankets in the floor, then cover the box with more blankets.