If there's no gas or oil heater in there, just a normal central heated water filled radiator, I'd block it up, but as has already been said, do it on the inner wall, and with something temporary, so that you can easily remove it in summer or if you start getting dampness in the room
As long as there is no carbon monoxide generating from anywhere, you should be fine.
But look at insulating your ceilings, and into getting your cavity walls filled - there is quite a bit of funding available through the Govt at the moment, all through the various companies that do it. My neighbours have had their loft and cavity walls done recently, and it's made a big difference, and it only cost them around a couple of hundred pounds, for a 3 bed detached, and they are both in full time employment.
Worth looking at