A waterproof shell will keep out wind, but a windproof shell will not keep out water. Thus, you're better off getting a waterproof shell - it's more versatile. Vapor barriers trap moisture within them and thus protect outer layers of insulation from moisture and also reduce conductive heat loss through water.
Vapor barriers can be socks, jackets, gloves, pants or sleeping bag liners.
Clothing keeps your body at a relatively constant temperature. When the weather is cold and wet, clothing serves to help you retain body heat by trapping air and by keeping wind and water out. No clothing warms you. It only insulates. Thus, in colder temperatures thicker, or more, layers are needed.