It’s difficult to get any warmth out of a January sun at this latitude, especially on days when the high temperature for the day is in the negative digits. The squirrels finally made an appearance in the backyard by late morning, but they favored clinging to vertical surfaces where they could maximize the amount of sun hitting them.
I’ve often seen squirrels performing this kind of behavioral thermoregulation on extremely cold days. In fact, you often see humans do the same thing, while waiting at a bus stop in cold weather — turning their backs to the sun to soak up the heat. Increasing their surface area by pressing their bodies flat on the tree trunk probably helps the squirrels gain a few extra quanta of heat from that weak sun.