The key to staying comfortable in snow camping is not keeping the cold out, but keeping your body heat in. The goal is to maintain thermal equilibrium — not too cold, not too hot.
"In wilderness, it is far easier to stay warm to begin with than to try to get yourself warm again after becoming cold."
In cold weather camping, there is no "inside" other than your tent or snow cave. You have limited changes of clothes, and wet clothes taken off at night will freeze. The goal is to keep your own body heat in, not to keep cold out.
You don't want to become too cold or too hot. Overheating causes perspiration, which makes clothing absorb moisture and conduct heat away faster. This will make you colder later when activity decreases and temperatures drop after sunset.
The head and trunk (body core) are the priority. When the core is warm, blood circulates to extremities better. If the core is cool, it's very difficult to warm externally. Keeping the core warm and dry with insulating clothing, warm high-energy foods and liquids, and balancing exercise with rest works best.
Remember: If your feet are cold, put on a hat! You lose about one-third of your body heat through your head.
The best approach is layering clothing for maximum versatility.
Long underwear made of polyester, polypropylene, wool-poly blend, or silk. These wick moisture away from the body. Polypropylene absorbs less than 0.1% of its weight in water.
Synthetic fiber pile (fleece), wool, or wool blend. Fleece is rated as 100 (light), 200 (medium), and 300 (heavy weight). Fleece retains loft even when wet.
Gore-Tex or similar breathable waterproof shells are best. They allow water vapor to escape while keeping rain and melted snow out. Should include a hood.