You wear a number of garments in winter rather than one thick garment?
Yes. This allows you to peel off layers as you excercise or as the weather warms up. The classic layering used in mountaineering and outdoor exposure situations is a full length polypropalene undergarment to wick sweat away from your body, 1 or more layers of fuzzt stuff that insulates (more than 1 layer will trap air in between for even more insulation), and an outer shell that acts as a windbreaker and perhaps waterproof. The best outer shells seem to be GoreTex, in that they are water and airproof going in, but let moisture wick out.