*wrap up* (or wrap yourself up)
Definition: to put warm clothes on.
E.g.1: You should always wrap up warm before going outside in the winter.
E.g.2: She was wrapped up in a large coat, a scarf and a woolen hat.
E.g.3: Why don’t you wrap yourself up and get into bed – you’ll soon feel better.
This phrasal verb can be separated by ‘yourself’, myself etc. (E.g. 3)