Trisk, I have never worn anything but a pair of long underwear (silk, either light weight or mid weight) under my Ibex tights for snow shoeing, hiking, or x country skiing. I don't know what style the Ibex tights are; my husband bought them for me on STP before I knew what that was! They are part wool and part wind block fabric and extremely warm. I hiked in them in Lake Placid in -8 temps. There would be no need to wear anything over something like these. They are not quite as skin tight like cycling tights, but almost as tight.
It finally warmed up a bit here. It actually felt warmer tonight coming home from Cambridge than when I left at 11. I have to get up at 4:30 to head to San Diego, where I will be forgetting about wool. Well, I did pack my Shak for the evenings.