The heat goes by conduction to the outside of the walls and windows and then is transferred to the outside air. There are several ways to slow down the process, all of them are done by slowing down the speed of conduction. For windows, make them out of 2 panes of glass with a vacuum between them, or glass made with lots of air bubbles. Add insulation to the walls. This is based on that fact that different materials have different thermal conductivity.
Wood feels warm, or normal, while metal usually feels cold.
Actually both are at the same temperature, its just that the metal conducts the heat better, thereby taking heat from your hand, making it feel cooler. This is the process of moving heat around by moving the molecules that contain the heat. E.g. Boiling water in a pan produces convection cells. The water at the bottom gets heated and it rises to the top, forcing the cool water down, where it gets heated. The water at the top sends its heat into the air so the cycle is continuous.