Pack for Cold

01. Don't Overdress

The moisture of sweat causes the body to lose heat by evaporation. Going for a brisk walk or run on a cold morning? Step outside and take inventory. Are you warm and toasty just standing there? Yes? Then you're overdressed. You should feel mildly uncomfortable in the cold before your activity.
Consider the impracticality of pullover sweaters and sweatshirts before packing them. If you anticipate moving from cold outdoor temperatures to warm/hot indoor temperatures, pack and wear garments that will unzip to let fresh air in and allow the garment to be removed as needed. As an example imagine walking to a Broadway theater on a windy cold night in January and then sitting in the balcony in the overheated house with heat rising to the ceiling. Do you then regret wearing that beautiful Scottish heavy weaved sweater?
The same consideration should be given to your legs. How many times have you regretted the long leggings when eating lunch in a warm cafe? A pair of snow/rain pants OVER your slacks can easily be put on and removed for your comfort.

02. Dress in Layers

The standard recommendation for layering in cold weather is the three-layer system.

The Base Layer - The Wicking Layer

For comfort, warmth, and odor control, base layers can be made of merino wool such as (SmartWool, Ibex, Icebreaker) or synthetics (Polartec Power Dry® or Patagonia Capilene®). For odor control, merino wool still has all the others beat.
Rather than absorbing moisture, these fabrics wick sweat away from your skin and transfer it to your clothing mid-layer. In that way, your skin stays dry and warm.
Prices vary with synthetics less expensive than the merino wool products.

The Mid Layer - The Insulation Layer

The primary purpose of a mid layer is to hold warmth close to the body while moving moisture away. This creates a nice dry, warm micro-climate near your skin. The most sought-after mid layers (wool, fleece, and down) are constructed from materials that are light, insulating, and breathable.
Down is compressible and easier to pack. But there is an issue that down loses its insulation efficiency if it gets wet.
We prefer fleece with pockets to carry camera batteries and phones. Also, zippers allow venting if we are overheating. Fleece comes in various weights (100-300) which refers to the loft and thickness of the material. The higher the number, the thicker the fleece and the warmer you'll be.
This is a good comparison of mid layer choices.

The Shell Layer - The Weather Protection Layer

The shell layer must do two things: let the moisture of sweat on the inside out and keep the moisture (rain/snow) of the environment from getting in.
Waterproof/breathable shells: The most functional (and expensive) choices, these are best for wet, cold conditions. Those using laminated membranes such as Gore-Tex and eVent offer top performance; those using fabric coatings are a more economical alternative.
Here is the Backpacker Magazine 2017 review of Best Shells.
And Gear Patrol 10 Best Winter Shells

03. Gloves

Required for prolonged exposure to cold. But they do interfere with fine manipulation of camera equipment. Look at these examples of gloves made for photography in the cold: The Alaska Series Flip Mitt and the Vallerret Photography Trigger Mitts.

04. Head/Ear Protection

Avoid cold damage to the skin of your ears and retain some body heat with appropriate coverings. Outside Magazine has some fun examples of cold weather headgear.

05. Protect Your Neck

You have several choices. A wool scarf can be stylish and practical. A fleece neck gaiter is a more compact alternative and can easily be pulled up to cover the lower face as well.

06. Protect Your Feet

Wool socks or some thin fleece socks are a must for keeping feet warm and for wicking sweat away from the skin. The use of Foot Glide has saved our feet from blisters in hot and cold weather. Highly recommended!

CONCLUSIONS: Keep Warm. Do not overdress and be ready to shed clothes and redress at a moments notice when moving between environments.