In winter, a ceiling fan should normally turn clockwise on a low speed. This gently pushes warm air trapped near the ceiling back down along the walls without creating a cool breeze.
Correct direction
When viewed from below, the blades should move from left to right, like the hands of a clock, to be in winter (clockwise) mode. This clockwise, low-speed setting creates an updraft that pulls cooler air up and redistributes warm air down into the room.
How to set it
Most ceiling fans have a small direction switch on the motor housing that lets you toggle between summer and winter modes. Turn the fan off, flip the switch, then turn the fan on low and confirm it spins clockwise when looking up at it.