Sweat cools the body quickly during cold weather and wind evaporates it faster. Wear fabrics that insulate and wick moisture away. Fabrics made of wool and polypropylene are good. Cotton retains moisture and is not recommended for cold and wet weather. Protect special body parts like your head, face, hands, and feet.
Mittens are better than gloves.
Cover the head with a wool cap. Shield the face with a scarf or high collar. Wear socks that retain heat and wick moisture away. Drink plenty of fluids. Do not drink alcohol before or during a workout.