I'm not sure that I'll get the English terms wrong but basically heat can move in three ways:

• By convection, aka liquids and gases moving around when theire heated. Obviously this doesn't happen in space
• By conduction, a hot thing thouches a cold one and heat transfers from hot to cold. And, this neither works in space
• By radiaton. Hot objects radiate heat as electro magnetic waves (ie ligth). This is the only one that works in a vacuum and this process is rather slow. Also this results I the weird phenomenon that good looking people cool down faster in space since their hoter. Therefore we should only recruit bad looking astronauts, but no one seems to have figured that out

Radiation will still transfer heat. But that will be relatively slow. This image gives a quick overview of the ways heat may be transfered.

It's exactly what the other commenter said, to transfer heat efficiently you need something else to transfer it to. In a vacuum, you only lose energy by radiation. Therefore on a spaceship you're actually in greater danger of overheating than freezing to death.

Another counterintuitive thing that stems from this is that space vacuum isn't even, strictly speaking, cold. The few and far between particles of space dust and gas can have very high energy flying by, at least until they hit something. It's only cold when you average out over all the empty space.