When I'm active outside in the winter I always wear a thin layer of wool as the inner layer, medium thick wool socks and a wool sweater. Over that I use shell clothing like gore-tex jacket and pants. As long as I'm active I will not freeze even if temperatures reaches -20C. If I'm out and about, f.ex. a long ski trip, I will bring a down jacket in my backpack that I will wear over the shell jacket when pausing to eat. Our kids wear wool inner layer, fleece mid layer and a insulated shell "one-piece" when they are out in the snow. Mostly because they often just sit down to play. If they were active all the time mid layer wouldn't be necessary.

Also found that it's perfectly OK to wear thin wool inner layer all the time. It doesn't really get too warm as long as you don't wear warm clothes over.