The best way to keep your walls warm in the winter is to make sure you have enough insulation behind the walls when they are exterior walls.
If your house has no insulation you can get blown in insulation done which you do by drilling holes in the exterior walls, blow the insulation in the exterior walls and then plug the holes.
I had the blown in insulation done to an older house and it really did help keep the heat in the house and the walls warmer in the winter.
You could also add some blankets over the walls inside the house which can help insulate the walls.
Make sure to also seal any window air leaks and put insulating curtains over the windows, close window blinds and even put some blankets over the windows.
Using shrink wrap for windows on the inside can also help you hold heat in and seal around any exterior doors.
You can also seal off bedroom doors and other room doors that do not have any use.
Not heating the unused rooms can keep the rest of the house warmer in winter and save on your gas or other heating bill.