I wear army surplus full length poly pro tights underneath my shorts. I should mention I dont wear those super tight yoga style bike shorts most riders wear, the ones I wear look like regular (non cycling) shorts and have more room to wear something underneath.

Then on top I wear a long sleeve jersey, over that a poly pro top, then over that a hoodie. With ear protectors and the hoodie's hood under my helmet. Then thermal socks and winter riding gloves. Works pretty well. I'm a wuss in cold weather too.