If you find out your outlets are letting in a draft, the Natural Resources Defense Council (NRDC) says that usually means the electrical outlet insulation is not adequate. There are a few options for insulating electrical outlets:

One way to help reduce drafts from outlets is by insulating them with foam gaskets, NACHI says. The Environmental Protection Agency says gaskets can be purchased from any hardware store and are composed of fire-retardant foam that is pre-cut to fit around your outlets or switch plates. To install, simply unscrew the outlet cover, press the foam around the outlets and then reattach the cover. Be sure to follow the instructions on the packaging.
If adding a foam gasket does not solve the problem, the NRDC suggests sealing drafty electrical outlets and fixtures with caulk or putty. This is a great option when there are cracks or gaps around the wall plate. Remember to turn off the power to the outlet before you begin working. NACHI says you can also use foam sealant or buy new plug boxes with a built-in sealant.
If you're unable to solve the problem on your own, you may want to turn to a professional who can install more insulation in between your walls, says the NRDC. This is the most expensive solution, but the NRDC says it may add up to cost-savings on energy in the long run.

Whichever insulation method you choose, the NACHI also recommends putting child-safety plugs into outlets when not in use, as it's an easy way to help prevent additional cold air from coming into your home.

Drafts in a home can be more than just unpleasant — they may be an indication of air leaks. If you are feeling the chill, check your electrical outlets and light switches and try one of these suggestions for improving your insulation