Caulking would be a good place to start. Around windows, doors, outlets, etc. This will have a quick payoff, it cuts drafts and is cheap to do.
2nd...... Storm Windows
Does your home have storm windows everywhere? If not, that is where I would make the next investment.
I suspect if both of these first 2 are done you will see quite an improvement. Then...
As for insulating, That is a more difficult issue. Somehow you would have to get more insulation inside the walls, ceiling and below the floors. Do you know the type and how much insulation is there now?