Salvage and Craigslist.

In most cases, older building materials are not as energy efficient as modern materials.  Older windows are usually single pane.  Doors are usually wood and a single layer, put together in panels that eventually shrink enough to draft through the joints.
Of course, windows were for centuries, since glass was first available in sheets large enough to use in windows, single paned and were perfectly serviceable.
The problems of that single pane of glass were mitigated, if not solved, by adding shutters and exterior storm windows.  As the old storm windows became less available for repair as the old ones wore out, interior windows became available.  In houses that were historic especially, interior windows became popular because they did not disturb the appearance of historic glazing.
They were usually composed of Plexiglas with strip magnets along the edge.  Strip magnets were glued to the inside of the window frame and painted over.
The problem with some drafty windows was that a very good gust of wind could send the interior window crashing to the floor.
In tiny houses, the drafts may kill you, but, for the most part, the space is small enough to heat without too much trouble or expense as long as you have insulated well.
Making adjustments, like interior and exterior shutters, interior storm windows and good heavy drapes can do much to keep the space warm. 
The main trouble then, will be heat in the summer.  Drapes will help there as well.  Windows can be opened in the night, then closed up in the late morning when the heat starts to rise.  Awnings over windows in the summer, and deciduous trees to provide shade on the house and windows will also help.  Deciduous trees and vines drop their leaves and allow the sun in during the winter.
The reason I am writing this is to advise you to check out sources of salvage to help in your construction costs.  I do not know if I would try to get lumber in this way, beams, trusses, joists etc., should probably be made of new wood.  Every cut and hole in a piece of wood weakens it a bit, and you may not get usable pieces except by cutting the ends off to avoid splits and holes.  you may not have standard lengths available.
You could buy historic salvage from fairly expensive building material salvage businesses.  These are good sources of antique mantels interior woodwork, doors, ceiling beams etc..  Coal and wood stoves are also available there, less efficient, but certainly more atmospheric than new.  Plumbing fixtures of all sorts can be had too. 
Antique stained glass can transform a space.  You must be aware that it is wise to put a single pane of Plexiglas, inside or out, to keep out the drafts that will definitely happen with old stained glass.
A marvelous source for materials is Craigslist.  You can buy a lot of things there, tools and furniture as well as building materials.  Also, tons of material can be had free of charge, and sometimes not just salvage.  People who simply overbought could also use this as a way to get rid of the excess in the garage or storehouse.
If you do not know Craigslist, search for Craigslist.org on line, and explore the site well.
Search for local salvage businesses and architectural antiques businesses on line as well.