They used animal skins as clothing to keep warm.
and
They lived in larger hunter-gatherer clans of hundreds of people in order to hunt large animals.
In this last Ice Age the humans developed the bone needle, which allowed them to take the skin of furry animals and sew clothes that were close to the body to keep the heat in and save up energy. Other shaped-bone kind of tools that have been found from the time suggest that humans preyed on large animals (like mammoths) and hunt them for food, and some theories say that they did that so effectively that it might be one of the reasons for their extinction.