Here's a bunch of us dressed for tobogganing.
Me dressed for skiing. (I have no idea why this picture keeps posting upside down)
My nephew Austin skiing.
My niece Elizabeth skating.
Basically we just add layers of clothing designed for cold weather use. Snow pants are well lined, windproof, and fairly waterproof. My snowmobile pants are rated for -40 use. Winter jackets are the same way. The orange ski jacket that I'm wearing has a fleece jacket on the inside and an outer shell that is wind and waterproof. My balaclava is microfibre. Warm, yet thin enough to fit under my helmet.
Columbia Sportswear has a lot of information about the technology they use in their sports clothing. Their website is quite informative. I have a pair of their snow pants with the Omni-Heat Thermal Reflective technology and it works really well.