When I’m cold, I always take someone close to me. How come this person can warm me up?

Answer

You know that heat always flows from the warmer to the colder body. When you crawl into your bed, the sheets and blankets have a temperature of maybe 20 degrees Celsius. Your body is warmer, and therefore heat flows from your body into the sheets and blankets. You feel that as cold.
When you lie against someone, your body rests against an “object” that is the same temperature as your body, so that no heat transfers. So you don’t feel cold. On the contrary, you might get too hot, because your body can’t get rid of its excess heat.