Try the thin Louis Garneau balaclava sold right here on TE:
http://www.teamestrogen.com/prodLG_1014002.html
It's lightweight and breathable...not wool, but but keeps my cheeks and chin and ears etc all very nice and warm. It's so stretchy that you can cover as much or as little of you nose, chin, and mouth as you want....you can pull it under your chin to just warm your cheeks and ears and neck, you can even pull it back off your head entirely like a little hood and use it just for a turtleneck too!
I LOVE mine, have used it several years already.

i would suggest getting some Ibex brand merino wool tights- get the heaviest weight you can manage to afford- you'll get addicted to wearing them! I have some I wear for pajamas now too.