There are a lot of polyester fabrics which do not absorb water into the fibres, but allow it to evapourate, or even transport the water away from the skin. This is wicking.
For cold weather riding you need to think in layers. The inner layer wicks water away from the skin. The outer layer stops the wind from chilling you, but lets enough water vapour through to keep you comfortable. The mid layer is just for insulation and can be light fleece or even wool. Modern polyester or nylon microfibre windproof jackets are good. Waterproofs like Goretex are not breathable enough so use them only in the rain.
On your legs, wear some kind of close fitting stretchy leggings over your bike shorts.
Start the ride a bit cold and dont over-dress.You dont need expensive stuff or even cycle specific clothing in winter. No-name brand hiking and running gear is good enough.