Besides staying active, the most important thing is to be wearing the appropriate exposure protection. This can mean a thicker wet suit, boots, gloves, and hood. For really cold environments, you must learn how to use a dry suit. Check with your local dive shop or instructor for the recommended protection for your area.
Last weekend here in Southern California, I wore a 7mm suit, along with a pair of gloves, a hood, and boots. I was fine at the surface, but at 35 feet, I could feel a little chill in my hands.