Curtains do help with insulating windows especially if the curtains are thick curtains.
But curtains don't do a great job at insulating windows especially during freezing cold weather.
If you have drafty windows you should make sure they're caulked and sealed and check for and seal those air leaks around and on the window.
Then put up some plastic wrap over the windows that shrink with a hair dryer as that helps to keep the cold air out of your home.
Curtains do help reduce the amount of air exchange between a cold window and the room inside so that keeps some heat inside and some cold air out.
If you have old windows I would recommend if possible to get new replacement windows that are insulated as although it costs some money to get the old windows replaced with new ones the house will be much warmer in the winter and your heating costs will go down as a result.
So within a few years the new windows should be paid for with the savings from the heating bills.