For operating in very cold environments, you need a good insulator between you and the environment, and the ability to shed wast heat in ways that are not detrimental to you.
Building colonies in the form of a Dewar flask solves the first problem. The vacuum acts as an insulator and prevents heat from being radiated or convected to the outside. This can also make construction easier, the outer shell can be made of materials suitable for radiation protection from the space environment while the inner structure is optimized for human habitation.:
The second requirement is to dispose of waste heat. Even simple occupancy of a Dewar flask will make the interior quite warm, since every human radiates heat at a similar rate to a 100W incandescent lightbulb. Add computers and machinery and things get testy quite fast. A radiator, heat pipes or series of heat exchangers with the radiating surface mounted on struts high above the surface can radiate heat away (quite efficiently due to the large temperature differentials between the inside and outside).
Other tricks would be to ensure the surface of the container does not touch the ground or local environment. Insulated struts or struts with their own integral heat exchangers (radiating away from the local environment) can be used, much like how the Alaska Pipeline is held above the permafrost:
Depending on the environment you are in, it may be preferable to use foamed materials or aerogels to create a strong, lightweight, insulated liner instead of relying on a vacuum between the inner and outer shells, but the underlying principle is the same. The foamed insulating layer may have to be thicker than a pure vacuum, but will still work quite well.