I don't know anyone from Canada but that is really cold!
I know both you from Canada but how do you keep yourself warm?
It's expensive having the heater turn on 24/7.
There's a thing called insulation. Walls generally have several layers of insulation (for heat and humidity), windows (and sometimes doors too) are always doubled to leave an insulating layer of air trapped in between. Heating is most often electric (which is cheap here), and only about doubles the electric bill (peak of summer vs. peak of winter). Good insulation is also really nice in the summer, it keeps the house / apartment fresh, as long as you control how much sunlight gets in during the day. Here, insulation is a necessity for winter, but you guys down south should also start getting up to speed on that to save you on your air-conditioning bills in the summer. Although, here in Quebec, we are quite alright with americans down south wasting tons of electricity on air-conditioning their paper-thin houses, because you buy that electricity from us! (well, some of it)
As for being outside, well, you wear several layers, a good coat, a tuque, a scarf, gloves, and a good pair of boots. And yeah, you keep moving, whether you're just walking fast to wherever you're going, or you're just having fun in the snow (sport, activity, whatever). If you have to wait around in the cold (for a bus or something), you just relax and try to keep yourself from shaking too much. And, if you're lost in the woods or something, you build yourself an igloo (or more like a quinzee or snow-cave).
I know one weird strategy people have is that they eat oranges
The "oranges in winter" thing mostly comes from the older days (like those of my parents) where fruits from the south (like oranges) were a luxury that most people couldn't afford, so, during Xmas time, the charities would bring in trucks full of oranges to donate to the poor (who could certainly use the extra vitamin C). It became a treat associated with the holidays (my mother used to say that while growing up, for her, Xmas was that time of year when you got to eat oranges, that weird and delicious fruit from Florida), and still today, the sales of oranges go way up during the holidays and for a little while after that, mostly by tradition. But it has nothing to do with keeping warm in winter, but it does keep you healthy! But drinking alcohol on the other hand (although unhealthy) certainly keeps you warm, that's not a myth.