In practice, it is not true that older properties = more cold/damp. Until the mid 20th Century, houses were built traditionally, with the climate in mind (and without technology/appliances to mitigate things). Consequently, buildings from before the 1950s/60s (broadly) tend to have wall types which work with the landscape and the climate, to keep heat and cold out. Often, there were limited (and perhaps small) windows as a result, for instance; there was good ventilation; floors and walls were often less tiled (and certainly less concrete) than is now the case.
Modern interventions in these buildings (more/larger windows, different renders/finishes, replacing floors with concrete and roofs with metal/concrete etc) can compromise this. Whether or not this has happened, improvements to windows and doors, and the provision of roof/loft insulation, can make a valuable difference. The walls are generally unlikely to benefit from insulation in these older properties.
For buildings from the start of the age of concrete, you find single-skin blockwork walls, concrete floors, and often inadequate windows. All these things can be improved, at a cost, and in a way dependent on the type of property - but perversely, the cost and success might be higher and lower respectively than for pre-concrete structures.
In 2006, the regulations tightened considerably, so professionally built properties (which is not all properties...) should have improved thermal/energy performance.
In short, buying "newer" guarantees you nothing, unless you know the building to be very recent, and have confirmation of the standards applied.
A few things to take into account:
Depending on the area you're looking at, mitigating heat may be at least as valuable as mitigating cold;
Energy ratings in estate agency listings may not be accurate, always check the reports;
Check for ventilation of areas where humidity originates (notably bathrooms and kitchens) as this can be poor, and "better" glazing without ventilation could be storing up a damp problem (which, contrary to common wisdom, is not an inevitability in Portugal, though it is common).