Bop Bop, when you work out you will sweat, no matter what the temperature outside. You just want to control it by getting it away from your skin. That means wick it away from your skin. If the outer layer can evaporate it, good. If you need a windbreaker over what you're wearing, then just provide something to 'sink' the sweat into. Despite what anyone says, membranes like Gore-Tex WILL NOT pass enough vapor to keep you dry - if you wear a windbreaker you will have something getting wet.

the most recognizeable name in wicking fabrics is CoolMax, but there's a zillion competing products out there. Virtually ALL cycling jerseys you can buy are of wicking fabric. Being synthetic, they are hydrophobic, meaning they will not soak up or hold water. Cotton holds LOTS of water, then gets cold and clammy. In cool weather, I like to use polypropylene. You can find polypro long underwear in just about any sporting goods store. Tights, a LS polypro undershirt, a cycling jersey, and a windbreaker with breathable back are a good combination for 40F weather. (YMMV)