My magic cure: Arc'teryx Beta AR wind/rain jacket, made from Goretex Pro Shell. No water leaks in through the zippers, fabric, or openings, plus a cashmere midlayer, and a merino base layer. The sweat goes outward and disappears into the cashmere. I'm dry as a bone. This is perfectly breathable. Comfy on days that start out at 50 degrees and sunny but end after dark when it's 30 F.

If all you've tried is a plastic bag, then of course you'll drown in your own sweat, but that doesn't mean waterproof and breathable are impossible.