DO: Have tons of cozy blankets and pillows

Obviously, you want your balcony area to be warm and welcoming in winter, so that means accessorizing your furniture with lots of cute blankets and pillows so you, your housemates and guests can snuggle up with a cup of hot cocoa.

DON'T: Leave furniture and plush/cloth-based items uncovered

Make sure you have waterproof coverings for your furniture because otherwise, they'll get soaked from snow and ice, and if they don't dry properly, that will allow mold and mildew to grow, as well as potentially discoloring or ruining the fabrics.

DO: Enclose the balcony with insulated materials

If your area gets snow during the winter but you still want to use your balcony on a regular basis (without having to completely bundle up every time you go outside), one great option is to winterize it by enclosing the space in some sort of clear plastic tarp or covering. It will keep the heat in, offer protection from the wind and inclement weather.

DO: Invest in some sort of space heater, but be safe!

Whether you're enclosing your balcony or not, a space heater will make the area even cozier and more inviting. If you have a larger balcony, you can get a freestanding patio heater that will better disperse heat, and if your balcony is more on a smaller side, there are tons of options for hanging, wall-mounted or portable space heaters that you can move around as you need.
Perhaps the most important thing to consider when choosing a space heater is making sure that it won't be touching or sitting too close to easily-flammable materials like clothing or furniture.

DON'T: Go crazy with the candles

Similar to the concern over space heaters starting fires, it's always easy for a scented candle to accidentally be knocked over and start a fire. Yes, they do look lovely and add a wonderfully cozy, hygge-y vibe, but that can also be achieved with no-heat fairy or decorative lights.
So, try to refrain from using lots of candles for décor or heating and, if you must have candles, place them in out-of-reach places or enclosed glass candle holders and only have them on when there's someone spending time on the balcony to monitor them.