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