Yeah, it might. Not as much if your feathers were thicker but it'd help. [Here he is talking like he knows anything about keeping warm in a snow storm. But the desert does get cold in the night and so he knows some about keeping warm when it's cold.

When he realizes that Horus is still shivering, he holds onto him tighter. Set himself is cold but he knows that him and Horus can keep each other warm if they hold onto each other like this. ]

We won't die like this. Body heat is always good when it's cold.