Balaclava is highly advised. You will need this when it gets really cold and a skull cap is not enough. You might also consider a pair of clear or light colored lens, ski goggles. As the winter get going, threads will pop-up regarding fogging. I found that a pair of ski-goggles was the best for when it got really cold.

Personally, I never bothered with arm warmers. (I ride through the Cleveland winter).