if i'm going to be riding in the cold with my cycling shoes i'll put on some recycled produce bags over my socks, then tear the excess away once my shoes are on. works superbly. plus the sweaty condensation provides hours of licking fun! also, have you tried just one pair of socks? sometimes i think it helps to have a little air space to warm up around the area you are concerned with. maybe the second pair of socks is taking that away? i've found when i wear two pair of gloves my hands can never warm up like they can with one pair.