Buy or make a cushion that is custom sized and shaped for the seat of your rocking chair. Many chairs have seats that are carved to accommodate a human backside, but if your backside and your rocking chair seat don't match, a cushion can help to bridge the gap.
Use a thick wool blanket to keep yourself warm. You can drape the blanket onto the chair before you sit down, then wrap it around yourself to create a wool cocoon in your chair.
Coax your cat into your lap once you are comfortable in your chair. The larger and hairier the cat is, the better. Optimum coziness can only be achieved with at least one cat in your lap.