Step 1: A brief history/physics/textiles lesson
Normally clothes keep you warm by trapping an insulating layer of air next to your skin- this is why many layers are better for warmth and the best undergarments (thermals or old-fashioned string vests etc) are actually mostly made of air. In windy conditions (for instance, sitting on a bike at 55mph), the wind blows straight through your clothes and removes this insulating layer, which is why you don't see many Harley owners wearing cardigans.
For warmth in cold and windy conditions, therefore, the best combination is an insulating under layer with a windproof layer over the top. Think about early aviators wearing sheepskin-lined leather jackets, or arctic-dwelling peoples wearing furs with the fur on the inside. Insulation underneath, windproof layer on top will be a recurring theme in this Instructable.