Insulation only works when it's not dirty and matted. Follow manufacturer's rules for cleaning outdoor clothing and clean often.
Try to stay slightly cool rather than slightly warm. Layer clothing for ease of removal. The trick is to put layers on and take them off just before you feel the need.
Non-constricting is especially important when it comes to feet and hands. Don't overdue insulation if it impedes blood-flow. Boots should not feel tight. Both toes and fingers should wiggle easily.
Don't sweat under any circumstances! Stay dry. Damp clothing and skin drains tremendous amounts of heat from the body - an invitation to frostbite or hypothermia. Cotton absorbs moisture so don't wear it in the winter. Don't wear waterproof raingear in the hope of staying dry as it will trap moisture. Instead simply brush snow off of clothing regularly.