Space is Cold: Averted. You need matter to have a temperature, and guess what space doesn’t have?
You’ll freeze to death eventually, sure, thanks to the slow process of radiating your heat away – in the absence of any form of conduction or convection – into that giant sky heatsink that surrounds you – unless there’s a star nearby, in which case you’ll roast to death first.
But on the whole, you are much more concerned with how to get rid of excess heat in space than you are with how to hang on to the heat you have. Starships carry a lot of machinery – radiative striping, liquid-droplet radiators, and in extreme cases, neutrino heat pumps – to get rid of heat, and a total failure of these systems will pretty much slowly bake you from the reactor and life support system’s heat budget. (Naturally, they’re pretty redundant.) This is also why you can’t have perfect stealth in space, and even very imperfect stealth – using heat sinks to capture most of this – runs out fairly quickly as those sinks run out of capacity.