I have a heating and air conditioning unit outside of my home and we are in a winter month and when the unit turns on it blows cold air do I have to turn my unit off outside to make my home warmer ?

What you are describing sounds like a heat pump. Heat pumps are not noted for the temperature of the air they put out but it should be warmer than is the house.

Most heat pumps also have electric resistance heat as supplemental heat. It is possible your either does not or it is not functioning.

Hi D. Does your thermostat have an auxiliary or emergency setting?