I think you've got it right on the mark here. So long as you can keep your feet dry (or use a vapor barrier of some sort to prevent accelerating heat loss), it's the air space that'll make the most difference. Think of it this way: If you buy a top-o-the-line cold-weather sleeping bag, you're essentially paying huge money for a big lightweight sack of fluff that keeps the air next to your body from moving around and distributing your body heat elsewhere.

Of course, down socks aren't feasible from any logical standpoint, so we use insulating layers that have air space built in. You know those rough wool lumberjack socks with lots of space between the fibers? That's the right sort of idea.

With that in mind, here's what works for me (not just cycling, but in general footwear terms): a lightweight synthetic wicking base layer (wet feet => blisters and other assorted nasties), followed by one or more insulating layers (cotton = bad, wool = good), followed by a waterproof breathable (Gore-Tex or somesuch) shell as necessary.

And don't forget that all these layers take up more room than your lightweight summer socks. If you put all this on and then crank your laces (or velcro) down tight, you'll just cut off all the blood circulation to your tootsies, and your feet will be colder than ever (that is, before you lose feeling to them).

Keep dry + insulate appropriately + ensure blood flow = warm feet!