Sliding glass doors allow a lot of air to get in around the crevices. Blocking these areas will keep the house warmer.
Caulk can be used around the door to fill in any gaps that allow air in. It can be removed once the weather warms up and the door is needed.
A blanket can be used to insulate the area. Also, taping clear plastic across the door can block the air. The plastic will also allow the light in as opposed to a blanket.