YSK: Babies do not shiver when they are cold. If you see a baby shivering it needs to be fed immediately because it probably has an extremely low blood sugar.

Babies have a major problem with thermoregulation (keeping a normal temperature). Because of this, many people think that when a baby starts to shiver it is cold. That's not true. If your intervention is to try to warm the baby it will more than likely die of hypoglycemia (low blood sugar). Keep this in mind and it could save a baby's life.

TLDR: don't try to warm a baby up when it shivers, feed it instead.

Edit 1: source: http://ift.tt/2fHgAnF
Source 2: http://ift.tt/2v16XpF (shows signs of hypoglycemia including 'jitteriness, which is often confused as shivering.

edit 2: another source: http://ift.tt/2d6rguH (shows baby's do not shiver to regulate body temperature)