We report a numerical study of self-avoiding polymers on the square lattice, including an attractive potential between nonconsecutive monomers. Using Wang-Landau sampling (WLS) with adaptive windows, we obtain the density of states for chains of up to N = 300 monomers and associated thermodynamic quantities. The method enables one to simulate accurately the lowtemperature regime, which is virtually inaccessible using traditional methods. Instead of defining fixed energy windows, as in usual WLS, this method uses windows with boundaries that depend on the set of energy values on which the histogram is flat at a given stage of the simulation. Shifting the windows each time the modification factor f is reduced, we eliminate border effects that arise in simulations using fixed windows.