I don't feel anything on my knees from knee warmers, knickers, or tights. And I have very sensitive skin, get "lines" from almost every waistband or jersey I wear, and break out in welts from even the slightest thing rubbing on me.
I have Sheila Moon knee warmers and they are awesome.
Toe covers don't bother me, either, but I have to keep my shoes very loose, all of the time, so maybe that's why. I have super thin wool socks, kinda thin wool socks, medium wool socks, and finally, my Woolie Bullies. Sometimes I even wear my thinner x country ski socks that are tall, under my tights.
Catrin, the nasal spray might help the rhinitis from triggering your asthma, but the cold is part of it, too. Could you use a buff and put it up over your mouth, so you aren't inhaling cold air into your mouth? I do that when it is really cold.