1. Use of the hair on their skins
During cold weather the hair erector pili muscles contract and the angle between them and the skin increases. The skin hairs therefore erect trapping a ot of air. This prevents heat loss. When its hot, however, the hairs relax and lie on the skin flatly therefore reducing the amount of air tapped by the hairs. Therefore maximizing heat loss to cool the skin.
2. Vasodilation and vasoconstriction
Whenever its hot the blood vessels vasodilates so a lot of blood reaches the surface of the skin this ensures that a lot of heat is lost. However when its cold, the vessels vasoconstricts so that less blood reaches the skin. Therefore minimizing heat loss.