How do the small birds stay warm in the winter?

In the winter birds fluff up to trap air between their feathers and bodies to create a natural layer of insulation, and sleep with their bills under their wing feathers to breathe in warmer air. They also can grow twice as many feathers but they still have to shiver almost constantly to increase their body temperature in cold weather. This shivering process is called thermogenosis. The constant shivering produces heat five times that of their normal rate, helping them to maintain an amazingly high body temperature.

It also burns a lot of calories. Birds store the needed calories as fat, but they can only store enough for 16 to 24 hours. This is why you’ll see birds in a panic at your feeders right before it gets dark and at first light.
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Scientists have found that some birds like chickadees go one step further to survive the cold winters. The birds go into a nocturnal torpor to conserve energy. Torpor is a kind of deep sleep accompanied by drastically lowered body temperature, heart rate, and breathing. The result is a controlled hypothermia that can save a bird up to 20% of its energy. (Hibernation is defined as a sustained state of torpor).

And of course they seek shelter out of the wind and cold. Some, such as the chickadees & titmice, huddle together in natural shelters like bushes. Also nesting boxes become roosting boxes in the winter. Or there are also roosting pockets.