A metal coffee can with a survival candle inside makes a nice source of warmth. You can even place a small piece of (metal) screen over it and warm up something to eat. The can both protects the flame and concentrates the warmth.
In his book 'Going to Extremes', Joe McGinniss describes being left in an unheated shack and having to get through the Alaskan night unprepared.
He found a candle, and sat in a chair with the candle in a can, beneath the chair, then he wrapped himself and the chair in a blanket or something.
A candle in a can between your crossed legs, as you lean against a tree with your poncho over everything, to capture the heat, can get you through a night, of course a candle lantern with a 9 hour candle is smaller and easier to carry.
You can also squeeze a roll of toilet paper minus the core in the can and drench it with alcohol and make a burner for warmth. They are demonstrated on youtube. If you use one in the car, keep a window cracked for oxygen.
Read up on the original use for a can of Crisco .It was used as a candle.