I asked before if large gas bags coming out of a creature could be a form of insulation. This avenue of question proved fruitless. But with it in mind, is there some natural form of insulation besides fat tissue and fur? Could excreting a natural adhesive when the weather gets cold so you can stick stuff to yourself work?
Methinks you have given up on the bladder idea prematurely, and it needs revisiting.
I posit that the idea just needs a bit of re-engineering.
Do not think in terms of a large air mattress style bladder, think bubble wrap. Just one massive bladder is not entirely useful as an insulator, but if the skin were completely covered in overlapping mini-sacs that could individually inflate and deflate, then the problem with convection is minimized. This is not a stretch, as there are creatures that use cutaneous respiration.
Cutaneous respiration, or cutaneous gas exchange (sometimes called, skin breathing),1 is a form of respiration in which gas exchange occurs across the skin or outer integument of an organism rather than gills or lungs. Cutaneous respiration may be the sole method of gas exchange, or may accompany other forms, such as ventilation. Cutaneous respiration occurs in a wide variety of organisms, including insects, amphibians, fish, sea snakes, turtles, and to a lesser extent in mammals.
Instead of this gas exchange going directly into the air, if it were modified to be able to fill mini-bladders that cover the skin, the creature would in effect be covered with an insulating layer of bubble wrap. This would also have the added benefit of covering the body with a natural layer of shock absorber, and providing buoyancy. If the mini-bladders were made of tissue akin to muscle fibre, then the being could expand and contract the bladders, increasing and decreasing the pressure in them. Increasing the pressure would increase the heat. In fact, doing it rapidly could create air friction, and thus heat (sort of like shivering).
The problem is, again, that if you want to get insulation from cold you don't want to just stick stuff to your body, but you want something that helps you building an insulating layer.
How do you make an insulating layer? Again, since gases are the worst heat conductors around, you need to trap small air pockets somehow with the stuff you stick around your body. And then you want to keep it as dry as possible, else water will make a fantastic work at dispersing heat.
The above gives you direction on what to stick and what not: loose materials (sand, leaves, etc) are better than compact ones (stones, wood, etc), because they make it easier to trap small air pockets. Even better if they are already poor heat conductors, as I can imagine that wrapping yourself in aluminum foil chips won't do that good.
Then it would help if your natural adhesive would be also water repellent, so that when you spread it above the layer of stuff around your body it also keeps water away.
Animal Ghillie Suit:
Animals do incorporate environmental elements onto their bodies and nests, and this effort (usually directed towards concealment) could evolve into insulation.
I'm sure you are aware, but you should mention structures as insulation. Lots of species use nests, tunnels, etc. to isolate a warmer environment from the outside world. An animal who is an ambush predator could certainly make small nest structures (think hunting blinds) to keep themselves warm while they wait for food to come along. If the animal gets prey, it has a source of calories and needs insulation less.
This principle can apply to species that simply carry non-living insulators with them. We all know that some species use containers or shells to protect themselves physically from predators (like hermit crabs). Apes use large leaves like umbrellas to keep rain off. An animal sticking random fluffy things in it's environment to it's fur can approximate a ghillie suit for camouflage and likely also insulate itself from the cold. Glue could work for this, but birds are capable of weaving and an animal might reasonably intercalate grass, feathers, bits of fur, leaves and similar material (dry, light materials) into a sort of suit of insulating concealment.
It is not outside the realm of possible that a predator might learn to manipulate the hide of a prey animal to literally become a wolf in sheep's clothing. This might start as incorporating the prey's scent and appearance, but could certainly become a form of insulation. An animal is unlikely to figure out how to cure a hide (but it's not impossible) so the hide would likely harden into a shell-like structure. The predator would need to wrap a raw hide around it so it hardened into a shape like the predator. The advantage here is that the hide could be discarded as needed to allow ease of hunting, but put back on to protect.