Have you tried thin layers?  I wear lightweight pants made of one of those performance fabrics (they are shiny and look like lycra); on top I wear a lightweight non-cotton t-shirt  (when you sweat in cotton, you feel damper and colder), then depending on how cold it is I wear a windbreaker or light jacket.  In really cold wind (esp. bc I run on a river) I keep my ears covered and wear cotton gloves.  If it is super cold I wear the windbreaker pants over my running pants.

 I think running in cold weather actually feels much better than running in warm weather.

 Enjoy!