The innermost layer should be manufactured with a man-made fabric such as flannel or poly pro. This layer should be worn tight to the body creating friction on the skin surface. The middle layers should not be as tight as the innermost one, but still body hugging. They need to be loftier than the rest.
Fleece is a good choice here.
It has a layer with a weave for body and strength but also a lofty layer to trap more air. Middle layers do not need to be windproof. Another middle layer might be made of wool. Just make sure it doesn t compress layers beneath it. Keep it loose.