In terms of energy savings, there isn't much benefit to insulating an unheated porch. However, doing so will prevent cold air from seeping into the porch and may allow you to use the porch for a few weeks longer before winter arrives. Basically, you should be thinking about insulating the roof, floor and walls to ensure the maximum benefit.
Start with the basics
Thermally efficient glazed doors and windows are essential to keeping the cold out. If your porch is screened, the first step will be either to add glass all around or to replace the screen with standard glass panels. Make sure the seals between the glass and the frames are all tight. If you feel any breeze coming in anywhere, you should stick rolled insulation fabric or foam into the openings. You can also use polyurethane caulking to seal the seams. Finally, consider hanging thick curtains over all glass panels. Fabric keeps rooms warmer and can help prevent drafts from getting into the room, so consider adding a thick rug on the floor as well.
The floor is the next step. If your floor is made of wood, look for spacing in between slabs. If there is any, you will need to follow the same procedure as with the window frames, sealing the spaces with insulation foam. You can also rip up the wood, install strips of insulation and then place a new floor on top. This would probably result in a better-looking job than just sealing the openings.
Go a step further
If you can crawl under your porch, insulate from below by nailing plywood boards to cover any openings. Large foam insulation sheets can be nailed directly against the floor above or held in place by chicken wire or other metal elements, with the facing against the underfloor. The insulation should fit snugly to prevent air from getting through.
If you're willing to invest some more, consider an insulated porch roof. These are more difficult to deal with, because you need a venting space between the top layer of the insulation and the underside of the sheathing of the roof. If you have a slanted roof, chances are the space is already there and you will simply need to get the foam in place in there. If not, you might need to hire a contractor to help you build the underside on which the insulation would rest.