Yeah, fenders don't do anything if it's doing anything more than drizzling. They're more about keeping road grime off of you and the bike.
If it's colder, I'll wear a light waterproof jacket and put newspaper bags around my shoes (it looks ridiculous, but it works). If it's warm enough, I'll just get wet and clean up at work. I'm changing clothes anyway, so being wet isn't too big of a deal. My clothes will usually dry out enough by the ride home.
I will probably invest in a rain suit for next winter, or at least some waterproof gloves. Cold wind + wet gloves = frozen hands.
Oh, and the newspaper-in-the-shoes trick really does work. The water wicks up from the shoes to the exposed part of the newspaper and evaporates. Wet shoes become dry shoes by the end of the work day.