I went skating today in -7C / 19F weather.
There's no snow on the ground, which is rare for this time of year in my area, so I decided to make the most of it.
Plus, there wasn't much wind. If it's cold AND windy, I wouldn't go out. So my first tip is check the forecast and see how windy it is. I'd recommend skating on zero to near-zero windchill days.
Like everyone's been saying, it's crucial to layer up without going overboard. You go overboard, not only do you look silly, but your sweat can get trapped in your clothes and actually contribute to illness. I wore an undershirt, hoodie, and semi-thin down-filled jacket. And what
@banksandledges said is crucial - tuck your underclothes in, otherwise cold air can seep in.
Also, I'd recommend wearing a hoodie since it can protect ya neck against the wind and cold.
I wore two layers of thin gloves so I could move my fingers around more. One layer of socks. No long underwear. But that's just me since my body got somewhat used to it. Another general tip is to acclimate yourself to the cold, meaning going for walks and such.
Also - I didn't skate for too long outside. Maybe 40 minutes total with a long break in between. Please keep in mind that not only will your board and bushings get stiff, but it's potentially detrimental for your body as well. Your muscles will get stiff and they can be more prone to overexertion and tension as a result, so it's important to pick your sessions and battles wisely.