This may sound stupid, but what has helped me the most so far is to just stop worrying. It's still a work in progress, especially for somebody like me whose nature and job it is to worry about everything.

But economically speaking, worrying about something that I can't (sufficiently) influence is a loss.
For the things I can influence, I try to influence them so I don't have to worry about them anymore.

Not knowing what exactly it is that's worrying you, it's difficult to go into details, so here are some general ramblings:

Electricity prices here in Switzerland are about to painfully increase the second year in a row as well. This is a bummer, but the prices will stay the same whether I worry about them or not. What we can do we've already done - there's LED lighting everywhere, our fridge is relatively new etc. - so the only thing left to do is estimate the cost and budget accordingly.
Still, other than in many many other countries, electricity will be available when and where we want to use it. All we have to worry about is the price. The price increases hurt, but all things considered we still have it very good.

Other than that:

• Electric blankets are a super cozy replacement for other kinds of electric heaters and use a fraction of the power. Get one for the couch to cover yourself and/or one to put on top of your mattress. You'll never want to leave your bed or couch again.
• If you don't get a lot of sunlight, try out one of those daylight lamps (sometimes labelled 'light showers'). They may or may not work with you, but if they do, they can do wonders for your mood.
• Good music. For me it's currently Röyksopp's "Happy Up Here" on repeat.
• If there's an animal shelter nearby and you want to enrichen your mental health walks a little, talk to them about borrowing a dog once or twice a week. You get joy (and bags full of poop), the dog gets some love and entertainment, and the workers at the dog shelter get a break. Win-win-win!

Edit: spelling.

It's cold and wet here in NL, but so far it hasn't bothered me that much. It's always cold and wet around here and I kind of like it. But that's just me.
Our house uses district heating which basically places us under a government controlled monopoly. Prices are not locked into gas prizes. On top of that the government mandated a price ceiling for energy costs. The price of electricity can not be more expensive than €0,40 kw/h for 2023. Not sure how things will turn out when 2024 comes around though.
Best thing for staying warm are warm clothes, of course. A thick cozy sweater is great, maybe together with some fingerless gloves if you get cold hands easily. Oh, and during dark days taking extra vitamin D might help as well. And of course, make your living space as cozy as possible: warm blankets, nice music, maybe some flowers to brighten the place a bit.
Oh and a personal favorite of mine when things get cold, Korean Citrus and Honey tea (Yuja Cha). I buy it premade in a jar. It's basically a thick marmalade you mix with boiled water. It's sweet but tastes so nice and warms me up when I'm feeling cold.

You made me wonder how much I pay a kWh... Wow, 1 euro/kWh is brutal, I'm sorry you have to cope with such a price. Common advice for staying warm here is to dress like an onion. A couple of modest layers of clothes will go a long way, more than a single thick one.

Glad to know I'm not the only one doing the stupid government mental health walk for my mental health that stupidity works 😂.

Your curtains/blinds can insulate the room but you get less light. Maybe also try some foil or radiator reflectors to bounce the heat away from the wall and into the room. Personally I get really comfortable under a fluffy blanket with a teapot next to me. But I like the cold over the heat.

I've lost 40kg in the past year, but currently cannot afford the new clothes I both need and deserve (I'm still a "plus" size so secondhand shops don't have much for me). So this winter will be all about layering. I have thermals in several sizes, I'll just wear the smallest against my skin and the largest on the outside! Next summer I'll be able to get new clothes and with any luck, by then I'll be a size that can be found anywhere!