Insects have a very different makeup from mammals and plants in that they are essentially a liquid-filled box. Most have two pairs of wings. Insects respond to cooling temperatures in a variety of ways and different species show different levels of sensitivity to freezing temperatures.
Mammals can generate their own heat and have the advantage of being large.
Insects are small and do not have body fat for insulation from the cold and do not produce their own heat. However, they do have several general strategies which they can imploy such as migration, dormancy and physiological escapes for dealing with winter. Because of their small body size few insects migrate long horizontal distances. However, the monarch butterfly, which migrates from the continental United States to as far south as Mexico and the Yucatan is an incredible exception to this. Dormancy is a common strategy for overwintering in a variety of developmental stages including as eggs, larvae and pupae.