I guess the first thought is "why on earth would anyone want to go sailing in the winter?"
On a nice summy winter's day, a little time on the water can raise the spirits a huge amount. With the sun, it needn't feel cold and it's bright and cheerful. A bit of winter sun does us all some good!
It's also quiet. More often that not you'll have the sailing area all to yourself. No worrying about who gives way to whom, no powerboats or skiers, no racing fleets taking up the whole area.
When we started our later-life sailing we did so in an 18ft open boat, and our first outing was on February 6th on a nice sunny day in The Solent. The four of us had our "official launch" and a lovely sail, a bottle of Cava which we opened sensibly rathe than smashing it, poured a decent glug over the bows and shared the rest between us (Incidentally, I generally advise saving the alcohol for when the boat's at anchor ... no silly accidents, please!).
(Rats! I like much about Concrete5, but for some reason either it or my ISP's hosting of it just forgets an edit. I've just had 40m work apparently disappear into the ether.)
Day sailing is one thing, but it can also be nice to go sailing and/or camping during the winter. Frost or snow on the trees and banks of a small river can be quite stunning. But if you're sleeping over, you need to ensure you stay worm, comfortable and safe.
You'll need a good sleeping bag suitable for winter use and, obviously, some kind of shelter from the elements. A "cuddy" under the deck maybe, or a cockpit tent. In a canoe, weight is an issue, but on most larger boats, that tent could be good and solid to help keep out the drafts. Oddly, it appears that staying dressed in the sleeping bag is counter-productive ... you're actually better off undressing. I usually spread my clothes under the sleeping bag, so my body heat keeps them warm. I most definitely do not like putting of freezing cold clothes. They get a little crumpled, but I don't much care.
A proper source of heat is a great benefit. The first thing to consider is that if the space you occupy is small enough and well enough insulated, your own body heat equating to about 75W makes a big contribution. Someone else's body heat adding to that can also be good for many reasons. You might also consider that a dog can make a handy extra heater.
Playing with Fire.
Of course if your boat and budget are large enough, you might consider a proper heater. The most important thin to remember about most heaters for non-mains-connected boats is that they normally contain a fire of some kind. They're a great source of heat but they carry a few risks that are important to remember. The risk of fire itself is obvious enough ... keep flamable materials well away and have a suitable fire extingusher, which i a small boat with a solid fuel stove may just be a bucket.
The next thing, though, is carbon monoxide. Carbon monoxide is a product of incomplete (faulty) combustion of carbon. Complete combustion produces carbon dioxide, which can suffocate but is not toxic. Carbon monoxide is toxic because it forms strong bonds with blood cells, so that those blood cells can no longer carry the oxygen we need to live.
Carbon monoxide is colourless, odourless tastelessl. It also leaves you with nice healthy skin colour even when dead. Low exposure gives symptoms a bit like a hangover ... headache, nausea, drowsiness, confusion. High exposure gives symptoms of death, but with that healthy colour skin. A problem with symptoms a bit like a hangover is that one can ignore them especially if one has had a drink. CO poisoning is cumulative, so ignoring the symptoms can be a very bad idea indeed. I've had low-exposure poisoning and you feel lousy but don't understand why. We found out why before anyone died. Don't get paranoid about it, but do always consider it as a risk.
I personally would strongly discourage any naked-flame heat in a confined space. Any stove must be properly enclosed and have an appropriate flue venting outside. And still use that CO alarm.