Leave a Log
Insects need places to shelter from harsh weather and also to hibernate. Insects are also an important food source for various birds, like robins and blue tits.
This is one of the simplest things you can do to help the insects:
Just leave a log in your garden!
Any log will do, but wood from a native tree is best.
Perhaps you have a wood burning stove and are willing to leave one log in your garden, or maybe you know someone who has logs (always ask first!). You can also take a small log or branch from a forest, but make sure that it is only one and that you don't disturb any wildlife.
By the way, mushrooms will also grow on logs after a while, which is very interesting and logs provide structure in your winter garden when all herbaceous plants have died down.