Thats... Actually not a bad idea? Like obviously not everyone owns a tent but it isn't terribly hard to get your hands on a cheap one (atleast in the us). The weather rating on tents has more to do with how they withstand the elements (how wet can they get) than how insulated they are. You probably wouldn't want one that's mostly mesh, but otherwise just about any tent will sleep really warm, especially with several people in it. Might be cold when you go to bed. But it should warm up fast.
Many of these climate change crazy weather tips seem to be pretty ineffective or of limited use, but this one seems like an actual good idea to me.
Beyond Walmart, google maps outdoor or sport gear. Most of those will have some sort of cheap tent, though I would avoid REI as they really only carry more expensive options.
This is actually largely the original idea behind four-poster beds. Castles are a bugger to heat, especially stone ones. But if your bed has its own roof and tapestries that hang down on all four sides, you basically have a tiny room with woolen walls.
