How do insects survive the winter?
As there are many insects, there are also a number of different strategies. As you already said, insects depend on the temperature of the environment and cannot produce enough heat with their metabolism. The major strategies are: 


Migration, 
Communal living
Cold tolerance (by means of antifreeze proteins)


Only some of the insects can opt for " Migration" , those which are big enough to travel long distances. A good examples for this migration of insects is the monarch butterfly which migrates from summer habitat in the north-eastern US and southern Canada to Mexico in the fall. Using this strategy the insects avoid live threatening temperatures.

"Communal living" helps insects to get over the winter, as the colony produces enough heat to survive. A prominent example are bees, which maintain relatively high temperatures in their hives, another would be ants. 

"Antifreeze proteins" are also employed by a few. Some insects contain special proteins or glycerol in their hemolymph (the equivalent to blood) which either prevents it from freezing and/or prevents the formation of ice crystals which destroy the cells. An example for such an animal would be the New Zealand Mountain Stone Weta which can stay frozen for month until the temperature gets high enough for living again. Some insects go into some kind of winter sleep, in which they survive the cold temperatures. Their living cycle is synchronized with the seasons of the year.

The answer is based on this and this article, have a look for further information and references.