Don't be surprised if he has to urinate frequently due to the Prednisone. That is one of the side effects. If he wets himself, you can clean him with unscented baby wipes. The frequent urination will go away when the medicine is gone. At the end of this message is a link to info on Prednisone.
I'm glad you're keeping him warm. He may also be comforted by being in your presence, so if he cries it may just be because he's not happy off in a room by himself, even though he's warm. He may want to be near you tonight when you go to bed. My dog is a different case, but at night she sleeps next to the bed in an old baby playpen. I took a thick comforter off of the bed and folded it so she can snuggle down and be warm. She just didn't do well sleeping in the kitchen after her accident. CLICK HERE for info on prednisone