2nd the motion -- you should feel a little chilly when you start out. Because -- unless you ride <10mph for <2-3 miles -- you WILL get warmer.
I have the additional issue of needing to keep certain areas of my anatomy covered up, because I can fall ill to a chill from that. GOTTA keep the top of the head under wraps! (Hair is thin as desert scrub up there.)
Make sure your fingers and toes are adequately insulated, as they will lose circulation benefit first; your face is iffy, too, noses are vulnerable for most people.
My winter commute is only 4 miles RT, and I still bust a sweat, no matter WHAT I wear. I guess it's a good thing I have the type of job where it doesn't really matter, 'cause I'll get sweaty and dirty ANYway.