I seem to run into a percentage of women that have some kind of thyroid issue or imbalance. My wife is one of these, and she also runs fairly cold despite having a curvaceous type body.
She is an egg donor and she had to go through a lot of health screening to do so--they checked out EVERYTHING, and the tests showed that she had an under-active thyroid. The doctor that talked to her told her that she would have be on thyroid hormones for the rest of her life, and specifically that she would have to get her levels up if she wanted to donate (that's standard procedure).
She didn't agree, told him she would fix it on her own, and she decided to consult me since she knows that i know a lot about holistic health (in my case, personal necessity was the mother of invention and research), as well as do her own research. I told her to up her kelp intake (primarily for the high iodine levels--we Americans in particular would do very well to intake much more, and i believe the standard daily recommended is too low), take some good iron (bonded with an amino acid aka "chelated") and co-enzyme form of B12 supplements as well since she tends to be a little anemic also. She did all this, and fairly consistently (she really wanted that 6,000 i guess).
A few weeks or so later, they retested her, and her thyroid and hormone levels were now within the normal range. Needless to say, the good and learned doctor was kind of surprised she proved him wrong, as he made it quite plain beforehand that he didn't believe she could do that by changing her diet and adding certain supplements and nutrient dense foods...
Anyways, when she keeps up certain levels of nutrients, and generally eats better, she tends to not run as cold as when she is slacking off and ignoring. She eats about 99% vegetarian (very occasional fish--mostly wild alaskan salmon) and so it's doubly important for her to get enough of these particular nutrients (well minus the iodine). Phosphorous also helps with the anemic tendencies as well.
From looking at her case and knowing other women with similar issues, my intuitive sense is that there are more women out there have issues with their thyroids than they realize, and that this can really impact the cold feeling issue. Even if you test within "normal" in a standard test, it might be a good idea to go that extra step to help strengthen and balance your thyroid by simple and very safe dietary measures like the above. For example, the Japanese eat many times the upper limit of iodine than do Americans and it only seems to benefit them.
All the other suggestions, eg exercising before sleeping, being well hydrated, eating a lot of fat and/or protein relatively close to bedtime, etc. is excellent advice but if there is a basic body imbalance it's not going to work as well.
And yes, of course body fat generally insulates well, which is why so many Arctic type adapted animals have extra body fat--"blubber" to help keep them warm. But if your thermo-metabolic system is off, then it won't help as much as it normally would.