for me, it's all in layering(this i learned from a friend who lived in denver). i put on a long sleeve Dri-Fit, then my short sleeve jersey. if i get hot, i take the dri- fit off and wrap it around my handlebars. try to wear stuff that is light that you can peel off.

if it's really cold, i will wear my windproof jacket.

i think the idea of arm warmers is a great one.