When I read your post, my first thought was that they probably warmed stones or rocks which fits in with Jerry's answer. Besides the type of clothing they wore and coverings, they used footwarmers. I've provided a link below on Keeping Warm in the Regency Era from Jane Austen's World. It is a two-part article on just about anything you might want to know about methods used to keep warm during the Regency. It mentions footwarmers at least twice in part 1 and shows a picture with information about them in part 2. I haven't read the article throughly yet but it looks like a good one.