Feel for air leaks around windows, doors and electrical outlets. Repair weather-stripping and caulk leaks. (Don't caulk around storm windows because that can hold in moisture and cause damage to the wood frame).
Seal up cracks in your home's foundation.
Replace cracked glass.
Seal off your attic circulating fan with polyethylene and tape.
Make sure you have at least 6" of good thermal insulation in your ceiling.
Keep your kitchen vents closed when not in use.
Keep closet doors closed.
Remove air conditioning window units or cover them well.
Use storm windows and doors and make sure they fit tightly.
If you don't have storm windows, cover the outside glass with polyethylene sheets.
