I keep turning the thermostat warmer but this house is still cold. What the heck??!

If your boiler system is operational and working as it should. Try bleeding the radiators and making sure the temp.adjusters work.
All pretty basic stuff i'm sure you know already.

Then I guess it's down to insulation. Everything from loft-lagging to walls to floor

Must be something about this time of year. Last couple of days I've had that phenomenon as well.
I turn it to 68º at night, 72º during the day. Other day at had it at 75º and I still turned on the fireplace.

Reckon I been in Arizona too long, if it's under 80º I'm cold.

Have you heard the heat kick on though? 🤔

Put some socks on and get more blankets...

Its winter

My flatmate had the same issue, twisting till the knob broke and he got all the heat he could stand and then some.

Make sure there is no draft coming through anywhere or any cracks. 🙂