I put fleece liners on mine, then I put a windproof sheet on until it's below 30, then I switch the sheet for a midweight blanket. When it gets below 0 F then I bring out the big guns and put on the heavyweight blanket. They seem to love them. One thing I learned when dealing with an older mare who had dropped a lot of weight was, keep something on her until she sweats. They can't regulate when they're too thin, and they feel the cold more than the other horses. Once I started keeping that lightweight, windproof sheet on her, she started picking up weight. I would use the fleece liner, the midweight and then the heavyweight blankets on her when it would get really cold. She lived through 2 really ugly winters with ice storms and several below zero plus wind chill days a few years ago and come out in good weight in spring. She had free choice grass hay and I feed Omolene 400, complete feed because of drought, and she got Ultium too.
Anytime it got the least bit chill or windy, I brought her into the barn and made sure she stayed toasty. It was a lot of work but when she passed, she was at an excellent weight and had a lot of shine on her coat.