First of all look at your mini map in upper right corner, you will notice a small arrow in the lower left corner... that is your wind direction... you want to place your bench and build walls and roof in such a way that the wind is blocked... here is an example of a basic structure I usually set up to protect a workbench...

https://steamcommunity.com/sharedfiles/filedetails/?id=2728865181

You can also look at the particles in the air zipping past which will also show you the wind direction... just remember to make sure the roof over the top completely protects the workbench overhead and make sure the wind is blocked by walls.

As far as getting cold.... the answer is so terribly obvious I cant tell if this post is serious or not but FIRE provides heat... build a fire and if it is placed indoors make sure you build a chimney/ vent to allow the smoke to escape or else you will choke and get damaged OR build the fire directly outside (the rain will put the fire out so be aware of that) and If you are near a fire you will be able to stay warm and if you have a bed you can sleep which passes time to morning.