Polar fleece is very warm for it's weight. Don't skimp on cheap stuff by the real deal, decent warm boots, Mountain rider fleece lined pants are nice. I like the fleece lined jeans from cabelas. Don't forget your head and neck,
One thing to remember, don't where warm cloths while unloading and tacking up, you get all bundled up for the cold then get hot and sweaty while tacking, save your jacket and hat till right before you saddle.