find this as i was reading a article about running in cold weather as well ...
2. Wear the right fabrics.
One area where modern runners have a huge advantage on those who started out in the running boom of the late 1970s and 80s is in the types of fabric available for running gear. Materials such as polypropylene, capilene, and some wool/synthetic blends wick moisture away from your body and keep you as warm and dry as possible.
Avoid wearing cotton because it doesn't wick moisture and also has very little insulating ability, which will leave you wet, cold and uncomfortable.