One interesting way some of my transient bretheren have chosen to keep warm is through dance. While I am a little leery of any activity that burns excess calories (epecially during these cold winter months), it is gaining popularity.
What occurs is that a group of five or more vagrants will gather together in a central location, preferably out of the wind and near a fire. Between two buildings in a downtown district would be a good location, especially with a burning trash can in the center of the alley. Otherwise under a bridge or somewhere with a brick wall you can get good and hot would work fine.
One will crouch and bang two tin cans together, and at least one other will clap in time. The rest will dance gaily about, exercising their muscles and building body heat to dispel the cold.
I was walking along 53rd Ave the other day looking for bottle caps. There, to my left, near the post office, was an old transient dressed warm and dancing away. What a sight!
It's a good idea, I suppose, but you'd best ensure you had a good meal to replace those calories.