There were fireplaces in the largest rooms. But in the Mediterranean--well, specifically Italy--they still used charcoal braziers in some cases. The most efficient way to heat was with ceramic wood burning stoves. They can be quite large, and they get very hot.
Generally speaking, windows had no glass, so I should think life was tough in winter. When it was really cold, people stayed in smaller rooms. Mary Queen of Scots received courtiers in her bedroom, and she herself stayed in bed, with a fur coverlet.
They used various kinds of wall coverings to hold in heat. In more modest dwellings, the whole family--with or without guests--shared a bed for warmth. And often the living quarters were built above stabling for the family animals, which also generated some warmth.
I'm always surprised by women's low-cut dresses at holidays like Carnevale.