the cruel, unbearable truth is that baggy pants feel cold in the winter (and long underwear too hot)
also, cotton kills
This.
Avoid cotton if at all possible if you can when doing any activity outdoors in cold weather. Once it gets wet it's basically useless (and dangerous) and takes forever to dry.
Synthetics are usually cheaper and require less to maintain, but they have the drawback of environmental damage/microplastics, etc. But they do wick well and dry fairly quickly.
Natural fibers like wool, alpaca or silk are more expensive and are more of a hassle to wash, but cause less environmental harm (though because they are animal products may be ethically problematic for some folks.). Fibers like wool dry from the inside out so you start feeling warmer more quickly when you stop moving/sweating.
Pick your poison, I guess?
On my head I use a beanie, on my neck I use a scarf (if it's super cold I'll wear a face mask as well). On my upper body I usually go with a uniqlo-esque inner long sleeve, a synthetic t-shirt, wool flannel or thin fleece, down vest, and wind breaker. On my lower body I wear leggings (or compressive leggings), thin socks and wool socks over them. Over that I'll wear a pair of wool pants (usually surplus ones because they're cut a tad bit looser and can be had on the cheap), or Dickies.
As other posters have mentioned, peel off upper layers as you warm up (don't let sweat build - peel until you're not feeling heat, not after you start sweating). A trick I carried over from my hiking/camping days was to pack a hooded puffy down or synthetic puffy jacket in a backpack for the inevitable breaks (they stuff down small so they don't take up too much space). If you time everything right, the layers you've peeled off won't be excessively wet and the few layers you have on still can quickly dry out via body heat once you put on the puffy coat.
TL;DR - layer and if you can; avoid cotton at all costs.