Inspired by several questions and answers here and also one at Biology SE, I have been looking around to try to find out whether this idea I heard constantly as a youth has any merit, or it just folk-wisdom gone bonkers. Usually expressed in the slogan given in the title- if you want to keep your feet warm (at night), wear a hat (to bed)- this counter-intuitive notion was repeated to me often by many I respected. My relatives, Scout Leaders, and others all believed this notion.
The explanation falls into one of a handful of broad categories, but the most common is that things like hearts, brains, and guts are very important, while things like fingers and toes, not so much. So when the body is in a situation where it needs to ration resources it might steal resources from the extremities in order to give a greater share to the vital organs. It does this by constricting the blood vessels in the extremities, reducing blood flow to those areas, and keeping more of the warm, oxygenated, nutrient rich blood nearer the core. This explanation seems to be confirmed in Causes and remedies for cold feet.
Another explanation I heard was that the majority of heat loss in the body is via the head. Some would continue by saying that heat rises, and the head in on top. I recall one grizzled old outdoorsman I encountered in college making all of us put our hands just over our heads and "feel the heat." But it seems this claim may not be due to physics, but that people tend to cover the body rather thoroughly when outside in the cold, except the head. So the heat simply has no where else to go. In reality, given uniform insulation, the body loses heat proportional to surface area. See, for example: Fact or fiction: Does wearing a hat keep you warmer? and the linked Biology question.
Of course, this may be exactly the source of my title's slogan in the case of sleeping - you are everywhere wrapped in an insulated sleeping bag, except your head. So when you add socks and blankets around your feet while leaving your head exposed, you aren't really helping.
Putting it all together, it is difficult to separate cause and effect, science and myth, and determine what exactly goes on in a body out in the cold. What, if anything, can one reliably conclude?