I use a welding blanket from Harbor Freight. Folded over and wrapped around does really well. I don't think it takes much insulation. Tip, don't use bungee chords to hold it on. They will melt. I need to pick up some tie downs with ratchets on them.
For ribs or something like that, I can do without the blanket by lighting a bigger fire and using more fuel. The blanket comes in handy for a 12 hr cook. I've done it without the blanket at -5*, but it used up all the fuel and needed refueling at like 10 hr.
Also, remember that wind is much worse that cold. So make sure your problem isn't the wind.
Proudly Smoking on a UDS, PBC &
Accidental Winner of the 2012 "Saucy" Throwdown.