I use a very loosely tied, wide, wool scarf. Wide, enough so that it has to get to and/or over my nose if only tied once around the neck in the back. Ideally, though, I tie it so that both ends are hanging around my front and tucked underneath the front layer (added layers for the core that is getting hit by the wind), and, once around the mouth. I wish I had a camera, I'd show it with a photo. Start with the center of the scarf at the mouth, take the right tail and wind it around behind and to the left front, take the left tail and wind it around to the right front.
If you tie it loosely enough, the wind will be blocked and create a sort of warm air pocket from the exhale, and you don't feel constricted. Also, as the moist exhale accumulates on the wool, you don't feel that moisture, therefore you don't freeze. And as, you warm up, you can just pull it down from your face.
Don't use fleece; it doesn't block the wind. Never use cotton. At the most, a 75% wool/25% acrylic is ok, but, no more acrylic than this.
Good luck!
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