The mylar space blankets work very well - but you must be careful because condensation can build up in them. From people I know who've used them, you basically stay inside warm and damp until the sun comes up and you can dry out. It's common now to tape a mylar space blanket inside a USGI style poncho, then tie in a woobe (poncho liner) to produce something called a "Ranger Roll". This is okay for quick naps in the outdoors.
I do carry a mylar bag with me most of the time in the outdoors because they are so small. You can see me test one to destruction here:
https://hive.blog/outdoors/@eturnerx/mylar-survival-bag-review
As for a more permanent setup - the Jerven bag is a option if you're okay with the expense and carrying the weight. A Jerven bag is much tougher and is mylarised too.
cool! I always wondered if/how they work.