I was reading last month's issue of Field and Stream when I saw that they had a very good article about surviving in the cold. Since the temperature tonight will fall to about 6 degree F where I am I thought I'd share some of it with you.
Rule #1: DON'T PANIC! If you're lost and the light's fading then it's time to stop walking and get ready to spend the night outside. Running around will only get you more lost and wear you out.
If you're going to go out to the woods you should carry some emergency supplies in a fanny pack. The pack should have a good folding knife, some waterproof matches or a butane lighter, some parachute cord for tying stuff down, one (or more) emergency space blankets and a steel camping cup for melting snow.
They also suggest carrying a few candy bars and something you can use for tinder while starting a fire, but I'm not sure that I agree with that. Instead of tinder I'd suggest solid camp stove fuel, and instead of candy bars I'd suggest one or two margarine bars (sure it's disgusting, but it's the most concentrated form of calories that's easily carried and we're talking about needing plenty of calories to survive a below-zero night in the open).
Another thing I'd suggest would be a carefully folded square of aluminum foil. If you can't find a spot bare of snow to build your fire on you can build a small one on top of the unfolded foil and it will keep the snow from melting around it and putting it out.
Of course, if you're really serious about surviving in the cold you should have a backpack with some more serious supplies in it. Stuff like a hatchet, a plastic tarp for construcing a shelter, and a parka with a hood and an outer waterproof/windproof layer. If you live in a state with cold winters you should have this stuff in the trunk of your car, anyway.
I've just detailed what you should have with you. If you want to know what to do with the stuff to keep alive then you should buy a copy of the magazine and read the article.