Most importantly: be prepared.
Always bring sufficient warm and waterproof clothing to make the worst possible weather for the area and time of year survivable.
An emergency bivouac sack, a warm hat and gloves weigh very little, and can save your life.
Also, something to start a fire (a lighter is not ideal as it could fail in very cold conditions), which can keep you warm and increase your chances of getting found by a search party.
Here's a report written by a guy who lost a friend and barely survived himself when they were caught in a storm while climbing in Yosemite valley, with insufficent clothing.
outdoors.stackexchange.com/users/369/Michael Borgwardt
If the cold conditions are relative temporary, say being caught in a blizzard or being benighted, as well as having extra clothing, food, bivouac sack, etc.
there is also the question of whether it is better to conserve energy and find somewhere sheltered to wait until it is safer to continue or try and push on to reach safety and risk becoming exhausted and then not be able to find shelter and suffer from exposure out in the open.
outdoors.stackexchange.com/users/3061/Paul Lydon
When caught unprepared in really bad weather you should try to at least not sweat, stay dry, stay well hydrated and well fed, hide from the wind, insulate yourself from the ground (if sitting) with anything you find (wood, dead tree leaves, ... etc) and don't sleep.
If you should absolutely sleep, aim for very short naps and get up and move whenever you feel hypothermia is coming.
outdoors.stackexchange.com/users/5574/Islam Abouelata
I would say that its vital to let someone know your route & radio in at a set time of day to let them know where you are & how you are coping.
outdoors.stackexchange.com/users/None/
One point besides being warm (which is a really tough task by itself), is having something to drink - it's not easy in below-freezing temperatures.
You'd want to have a reliable stove or you'll be forced to share your body heat with this show
filled bottle.
Another option is using sun light to melt snow during the daytime: use a lens or try to heat your black sleeping mat - but this will probably work in the summer only.
Having a stove and a gas cartridge is really a big deal in winter survival.
Just as a good map and a compass are.
I hope you are asking just to be prepared for some highly improbable emergency.
If chances of this surviving-without-sleeping-bag situation are high, I would just cancel the trip - or get enough camping gear to make this not an emergency but a routine.
And please don't go alone.
And if you get such an emergency, it's essential to think of it as an emergency, i.e. don't try to finish he planned route, don't hesitate to call a helicopter if you have the option, don't hesitate to leave some expensive but heavy/unnecessarry gear behind, etc.
outdoors.stackexchange.com/users/1794/Steed
Keep 3 things in mind: 1.
Hydration 2: Shelter/ Fire 3: Food.
Oh yes
the most important item: being rescued.
For hydration you have to be careful what you do.
It is easy just to reach down and grab a bunch of snow and suck on it.
Yes it will give you water, but it will also take your body temperature down.
Keeping your body temp up is very important to avoid hypothermia.
Make sure cloths do not get to wet.
Layer your cloths
so you can take some off during the day while you are hiking to your survival.
Shelter is also going to be very important.
Finding resources for shelter is difficult so keep on the lookout for good places to sleep or stay out of the wind.
Find some pine needles if needed to sleep on.
Use anything dry to keep you directly off the ground.
Get a fire started as soon as possible.
Pine cones are good to burn and stay pretty dry.
You may want to grab some real green stuff to throw on the fire to create smoke for a rescue.
Finally food.
That is always going to be difficult in a cold weather environment.
You may have to eat things you have never desired to eat before.
Meat will be tough to find but you can still find food.
Pine needles have good vitamin c in them.
Just don't eat to many.
outdoors.stackexchange.com/users/5732/user5732
What can I do to survive multiple (2-4) days in a cold environment (like in mountains in winter)? As resources I've normal Skitouring gear with me for a single day, no sleeping bag or bivy bag.   What are the points and priorities to keep in mind to look for, when you're stuck in the mountains.  One point is to stay warm like  the linked answer . What are others?
How can I survive multiple days in cold environment?
outdoors.stackexchange.com
<survival><mountains>
outdoors.stackexchange.com/questions/7679
outdoors.stackexchange.com/users/3605/ibex
Shelter is very important.  Something to start a fire. Staying warm and having something to drink. When caught unprepared in really bad weather you should try to at least not sweat, stay dry, stay well hydrated and well fed, hide from the wind, insulate yourself from the ground (if sitting) with anything you find (wood, dead tree leaves, etc) and don't sleep. If you have to sleep, take short naps. Let people know where you are going before leaving and don't go alone. Take enough warm and waterproof clothing to keep your body temperature up, avoid getting wet and layer clothes. Shelter and the means to start a fire are important. Stay hydrated, sleep in small naps if you must. Safety in numbers, keep your body temperature up with warm, dry clothes and layering.
Shelter and the means to start a fire are key. Stay hydrated. Safety in numbers, take short naps if you must sleep. Keep your body temperature up with warm, dry clothing and layering.