I’m writing a story that includes different alien civilizations. One of them lives on a very cold planet. What are some necessary features they should have in order to survive in the cold?

That depends on the aliens. Are they immune or adapted to the cold? if they are immune then there's nothing really that needs to be done except for how other races interact with the planet. If that species is not and simply have to brave the cold thats where things can get interesting.

You can go "old fasion" and have everyone wear some kind of thermal clothing, or heating tech.

You can go a bit more "spiritualist" by having them conduct prayer together which - through the powers of science/magic - warms their bodies. Also martial arts could be a way to keep their body temperature up.

You can go a bit more "experimental" by having some energy source that they need to comsume (this is where you can go crazy with potions or mineral mining etc).

Lastly you can go "occult" and make them perform some sort of sacrifice in order to keep "the gods" or some kind of technology powered which keeps their area shielded from the cold.

I'm sure there are plenty more ways to do this but this was just what came to mind in the moment. Hope this helps.