If possible, go to any place that is open 24/7 and, worst case scenario, spend the night walking. Sleep during the day.

If you get a sharp stubbing pain in your fingers, toes, or (less likely) cheeks, immediately take off your glove or sock or what have you and massage the part that is hurting. Massage until circulation is restored, i.e. until it’s red. Rubbing with snow is a good way to restore circulation. It’s counterintuitive, but you want to shock your capillaries into expanding. No circulation = no oxygen for your cells = necrosis. Warm blood circulating will warm you up.

If you are dressed for the weather and know how to do the above, I’d recommend spending the night exercising. Exercise will keep you warm. Others who were more passive didn’t survive.

The car will keep you warm but also humid. Too many variables there.

Warm shoes, socks, gloves, and a hat are a necessity.

If you are staying warm by burning candles or other things, get a carbon monoxide/smoke detector.

If you have access to firewood, consider burning fire all night. Get a bunch of reflective thermal blankets (you can get them in a dollar store) and make a shelter out of them near the fire. But you can’t sleep.

Don’t be a hero, don’t brave it. Stay warm and save yourself from death.