Trapped air insulates. Layers can be removed to avoid perspiration and subsequent chill. Outer garments should be tightly woven , water repellent, and hooded. Wear a hat. Half your body heat can be lost from your head.
Many deaths related to winter storms occur after the storm is over.
Heart attacks while shoveling snow or pushing a car, a result of a person pushing their body beyond its limits in the cold. Everyone needs to conserve some energy to stay warm. Besides, sweating means putting a layer of moisture on your skin, which will freeze in the cold, chill you, and possibly bring on hypothermia.