We used to call our back room the fridge!!
Last year I dry lined it with 50mm celotex, bonded to the wall (after tidying up the wall and sorting out the damp course).. All taped to provide a vapour barrier and insulated round the windows etc..
Bonded some plasterboard onto that and plastered.
Also put in the discrete heat skirting board radiators and it’s now the cosiest room in the house, 18 degrees pretty much the whole day according to the baby monitor with the heating on twice a day.
Bonding to the wall is a bit of a pain but we didn’t want to lose any more space by using a wooded frame.
Totally worth it..