Squirrels are very active in winter and they do get cold however they do have their fur that keeps them warm while out in the cold and other elements.
Squirrels also make dens where they go to stay warm and is where they usually hide the nuts and food they forage before winter.
Just like you and me and many other people squirrels do get cold but they have shelters that they build and go to during the cold and extreme winter weather.