It's been cold a few mornings lately, under 30 (farenheit) when I leave. Last year I picked up some embrocation by a company called Training Day. A little on your toes and your feet don't freeze up. Works pretty well, but one of the ingredients is extracted from peppers--habenero, I think--and it's supposed to help your skin stay warm. Might work better on legs than on toes, but my feet stay warm without having to put heavy socks on unless the temp dips below 15 or so.
Well, one of the key things to remember if you use this stuff is that after your shower, dry your feet last. I got to work on Friday, showered, got to my desk and about 20 minutes later had a warm tingly feeling in my nether regions that I was not exactly going for. My co-workers probably wondered why I was squirming at my desk for a while. "It burns!"
By the way, I think Vaseline does the same thing as the embrocation, with no peppers.