Personally I don't cycle outside in the winter because I don't like snow, ice, and -20 degree temps
so it is indoor trainer for this girl
HOWEVER I have heard of the pantyhose for warmth idea. A lot of people, men as well as women do it around here for a variety of activities. I don't know about using it for cycling, but they use them for added warmth under thermals (long underwear). Pantyhose add some extra warmth w/o a lot of extra bulk. For the amount of layers you need here you would look like the Charlie Brown in the winter
It's about the journey and being in the moment, not about the destination