That's because if your head is uncovered, more blood is moved to your noggin in order to keep your brain warm. Once your head is snug and warm, the blood can circulate to less essential spots, like your feet. It's smart to wear loose-fitting boots that have room for an extra layer of socks. The loose fit will also let blood circulate more freely. Perhaps you've noticed that mittens are cozier than gloves.
Fingers stay warmer if they can snuggle up together.
Mitts trap air, too, and add insulation. Layer your clothing, too. This creates air pockets that trap warm air close to the body. Like the polar bear's coats, you should have an insulating layer close to the skin and an outer layer that is wind and water-proof. It traps air for insulation.