We use "so" for adjectives and adverbs and we use such for nouns.
- It's so cold!
- It's such a day!
- It's such a cold day!
- She improved so quickly!
- She made such improvement!
- She made such a quick improvement!
You can express a similar idea with "this" and "that".
- I didn't realize it was that cold.
- I was surprised to see her improve that quickly.
- I didn't know the situation was that bad.