I used to dress my kids in an extra layer and have the column heater on in their room, otherwise I bought them those polar fleece jumpsuits (they are from target, about $20) which go up to a size 6 I think. DS has a pair this year in a size 4.
yep those suits are great Josiah pulls everything over his head so he sleeps in sleeping bags
my 3 year old kicks everything off and is in a thick suit form target and so is my 8 eyar old whom fitted into the size 6 ones they are FAB!!!