I have used foam insulation, again the low-expansion type to insulate tubs and showers. It works fairly good, but it will not provide complete protection. Since the tub is made of steel and china, it still absorbs and transmits cold fairly quickly even from the enviornment. The foam or fiberglass will help. Two other options also come to mind. You can provide a small electric thermostatically controlled baseboard type heater behind the tub, or direct one of the heat vents behind the tub. In some homes I have even provided radiant infloor heating below the floor surface in the bathroom. Its kind of nice to walk into a ceramic floored bathroom with your bare feet and still feel warm. Ahh the luxury.