PEOPLE SAY that letters arriving from Chicago in February have freeze burns on them.

The same people think that if you have lived in Chicago, then you must have developed immunity to the cold, as you would be to measles or rude cab drivers.

Both assumptions are equally false, especially the part about cab drivers.

In Chicago the child labor laws are suspended in February. Big persons are allowed to sit with hot cider in front of picture windows and watch their wards heaving snow off the sidewalks. It is a doubly cruel practice, since little persons must throw the snow that much higher to get it over drifts and banks.

If your father has a run of dogs in the back, then you are much worse off for having to plow the walks out to the kennels.

In all the years of doing that, I never noticed building any resistance to the cold. I would rather sit in front of a fire and talk of cypress trees or white beaches or the affairs of whales off the coast of Mexico.

These days, however, it's not enough to get warm. You have to do it on a strict energy budget. Fortunately, the two are not mutually exclusive.

Beware the Gadgets. The energy crunch has invited a new wave of gadgeteering. Some stretch to the limits our generally trusting nature.

Will the new automatic widget regulator actually save me 50 percent on my heating bills and cut pet odors besides? Can a solar flimflam detector replace my heat pump and organize my closet too?

One real device promises to tell you in dollar figures how much energy you are using, to predict future use and to thus shock you into conservation. It simply multiplies the amount of electricity you use by the local rate. Cost of the unit -- more than $200. Your $7 pocket computer will do the same thing, or try checking last year's bill for the month.

But there are some workable products on the market to save you money.

A number of companies have introduced indoor strom windows with either adhesive or adjusting frames. In most cases, you cut the plastic sheet to fit the size of your window. They range in price from less than $20 to more than $60.

Thermal window shades (about $3 a square foot) are actually quilts that pull down to prevent heat loss when the sun disappears at night. You can get about the same effect by sewing polyester fill into your present curtain linings.

Stop Leaks. Small air leaks around windows, doors, fans and pipes are one of the country's biggest energy losers. Most are repaired easily enough with a little insulation stuffed into the cracks. Self-adhering weather stripping for around windows and door jambs is available at low prices in many hardware stores. Kits for less than $3 are available for insulating behind electric outlets on exterior walls. You can also buy strips made especially to stop drafts around door bottoms.

An old-fashioned idea called a "Draft Dodger," a stuffed fabric snake, is designed to block drafts under a window or a door.

Save Heat. Products are being designed to re-use, or make more efficient use of, heat that normally escapes. New pre-fabricated fireplaces, for instance, vent wood heat into other areas of the house. Some are available with heat exchangers to boost central hydronic (hot water) heating systems. Other devices capture hot air normally sent up chimneys by oil, gas and wood furnaces and send it back into the house.

About $6 will buy you a foil panel to fit behind a radiator and reflect heat into the room so it is not lost on the walls.

Cut Back. The electronics industry is rapidly catching up with the energy shortage. Energy conserving thermostats are now available with computerized controls. These allow you to turn the furnace up, down, on or off to varying temperatures at different times of the day. Prices range from about $30 for the manual version to more than $100 for the computerized models.

Newer water heaters are energy conscious. You can buy one, for instance, that heats only during the local utility's off-peak hours. Some thermostats (different models are available for hydronic and forced-air heat) anticipate temperature changes by measuring outdoor, rather than indoor, temperatures. Water heaters currently imported from England heat at the spigot, rather than through a tank.

Hardware stores are selling kits to wrap hot water heaters in a blanket of insulation. But take care. Underwriters Laboratory has warned that these should not cover connection and control boxes.

Zone Heat. Energy experts agree on at least one thing. If you can lower your whole house temperature and heat just one room you will save money as long as you continue to use the same kind of fuel. A through-the-wall heat pump (similar in size and shape to standard room air conditioners) is one method of producing localized comfort. One large enough to heat a good-sized 20-by-20-foot room will cost about $1,200 installed. The heat pump both heats and cools. In the winter with the temperature over 30 degrees, the heat pump is far cheaper to operate than resistance heating. In very cold weather, its resistance heating (expensive) kicks on. Far cheaper in initial cost is the electric spare heater, both convection (hot air) and radiant types.

Come the Big Freeze. Try to prepare for freezing pipes. The ones that freeze more often are those leading to outdoor faucets. Make sure these are drained by closing the indoor control valve and opening the faucet until it empties.Pipes can also freeze in unheated crawl spaces, basements or near windows. Heating wires are made to wrap around the pipes during the coldest winter moments. Insulation is available for the same purpose.

If pipes do freeze, unfreeze them before they burst. One of the simplest methods of doing so is to wrap the pipes with rags or burlap and soak them with boiling water. You can also use a heating pad, a hair dryer or a propane torch.

Torches, however, must be used carefully, away from any combustible walls, ceilings or joists. They can cause water inside the pipe to boil, so make sure the faucet is open before you torch. Move the flame from the ice block toward the faucet to allow steam to escape.

Community Involvement. If you are going to Key West and the neighbors decide to stay home, make sure at least they are aware of cold weather disasters in your house. Honeywell makes something called Winter Watchman. If the temperature in your house gets too cold, the thermostat in the little device causes it to turn on a light in the window, where your neighbor can see it.

Wrap up. You can wrap up alone, but with a friend is best. One product on the market intends to replace the quilt and the Army blanket. This combination sleeping bag/sarape zips up cacoon fashion. You may find walking difficult, but arm holes allow you to sit in your favorite chair by the fire and finish that novel. They cost around $50 and are available through such department stores as Woodward & Lothrop.

Remember, warmth is easiest with more than one person.