Yes, wool socks. And fenders if you can. If I'm going to be putting out a good deal of effort, I'd rather just get wet from the rain AND stay warm instead of using full waterproof gear and sitting in my sweat.
So, I use synthetic layers (currently some old patagonia capilene of different weights/thicknesses) and a wind-shell (which seems to breath better than my goretex stuff)
I recently got some Pearl Izumi cold weather gear (gavia jacket and amfib tights) which works f'in great, but it's overpriced and you can do almost as well for a lot cheaper with non-cycling specific gear.