Some of the best clothes to wear for winter include synthetic fibers and polypropylene layered clothing, cotton and woolen fabrics and Polypropylene and hydrophobic fabrics among others. You actually need to wear or put on some cloths or fabrics that will keep your body warm and dry. Check out http://www.ehow.com/way_5220136_clothes-should-one-wear-winter_.html for more information.
Thermal underwear is a good place to start. Wool and quilted fabrics are a great choice, as are thermal (try "military") socks. Layering is best, especially if you will be walking in and out of buildings with central heating. And don't forget to wear a hat: we lose most of our body heat that way.
and for the most improved thermal body temperature, don't forget to apply a good body lotion such as Avon silicon glove or moisture therapy or skin so soft oil before dressing to clean, dry skin. you will be up to 5 degrees warmer all day!