I need to have something windproof, too. I once forgot my x country ski jacket (similar to a Gore cycling jacket) on a trip to Vt. when it was below zero, but had my Shaks with me. I had my normal layers (wool and/or fleece) under the Shak, but the wind really got to me.
I solved the issue by getting an Ibex jacket (forget which one, now) last year, that has a wool back, and a windproof front, for snow sports. It's super thin.
For cycling, if I have enough wool layers or fleece, I can wear a regular, thin wind jacket. Or, I wear thinner layers and my Gore cycling jacket, which has pit zips.
I don't ride when it's under 35 -38, depending on other weather factors, but I am comfortable.