More info about their lovely tail:

The blood vessels in the tail serve as an efficient thermoregulation system, opening blood circulation to the tail to cool the squirrel, and closing it to retain heat. Raising their tail over their body affords them the ability to enjoy the cool shade it provides. It also serves as a warm blanket that greatly helps to keep them warm during cold winter nights. Lastly, their tail is critical in communicating to other squirrels and potential predators.

Source - Cheevers, Carrie. 2020. How do squirrels prepare for winter? Spectrum News, November 11. https://spectrumlocalnews.com/nys/central-ny/weather/2020/11/11/how-do-squirrels-prepare-for-winter-