I don't know how cold you're talking about. What I use though in winter are a pair of 100% lycra dance tights. They don't breathe much when compared with cotton, so less of the cold wind gets through and you stay warmer. They are thin, so when you are layering clothes there is less bulk all up. Also they are cheap - i bought them from a local dance boutique for about $30 Australian, which would be less than US$20.