that "thing" is a balaclava. unless you got a whole "look" thing going on, I just wear my summer gear (bike shorts, jersey) under increasingly heavier clothes as it get colder out. basically warmth is important at the vulnerable points - ankles, fingers, neck, face, eyes, top of your head. warm (and proper) gear doesn't necessarily have to be made by cycling industry manufacturers. For example in February, I wear ski mittens.
As long as it doesn't flap like mad in the wind it's good.