My conservatory has a polycarbonate roof and was very cold.
So i recently had the roof insulated with those rigid foil backed loft insulations panels, put inbetween the rafters, as my conservatory is a lean -to design. they hold themselves in place, i wallpapered over them so the ceiling now looks like any other ceiling in the house.
It has made a massive difference and the room is now almost as warm as the rest of the house.
I used to have an oil filled radiator left on all the time which worked quite well too.
Do you have blinds on the windows? i keep most of them down in the winter, except on the doors and two windows, keeps draughts out too.