A baby can usually begin regulating there body temperature at least somewhat after 3 months of age but they still may not be fully able to regulate their body temperature until 12 months to 18 months of age.
So while you may feel warmer the baby may feel cooler so in the winter bundle up your baby really good and keep the heating on to at least 70 F to 75 F until the baby gets to 18 months of age or older.