Dress in layers. As an example, what I do is I on some under-armor (or as much as I can put on), toss on a long sleeve shirt, out a couple tee-shirts over that, a sweat shirt, hat, extra pairs of socks (make sure you can still fit your feet inside your boots), and gloves and a jacket. I have not yet mastered managing to keep my hands warm completely, but I'm sure I'll be able to master this some day.
Layers make it so you can strip them off the warmer you get but easily put them back on as needed. Where I live it gets very cold easily and quickly, this is my method to stay warm.
I also would like to see what other people say.
"And somewhere in the northwoods darkness a creature walks upright. And the best advice you may ever get is: Don't go out at night..."