Remember the saying your mom always said? If your hands/feet are cold... put a hat on. Most of your body heat escapes from head/neck/armpits/groin. Keep those covered and the core will not be pulling blood FROM your extremities to keep warm.
Concur... wear layers. Avoid cotton, it holds moisture. Before "frostbite", you must be more careful of "hypo-thermia". Moisture pulls heat away from your body 25x faster than dry air does. Wool will keep you warm even when wet. Yes, TIGHT fitting boots will get you cold faster. It compresses your insulating layer(s). Insulation is all about dead air space. Some folks get cold feet much faster than others, and require warmer boots. Some folks can deal with lighter boots to keep from their feet from sweating. Listen to your hooves. Have dry socks to change into if needed.
Define "cold". I lived in the high arctic for 20 winters. I've endured cold snaps of -45F that went on for weeks at a time. I've seen -70F ambient, with winds howling out of Siberia. After a spell like that, -20F and calm is "warm". It's all a matter of perspective.
Also, humidity matters. A DRY cold is much easier to deal with than when it's WET. Just like a DRY heat isn't as miserable as MUGGY heat. A WET cold goes through your bones. A DRY cold isn't as miserable, but can induce frostbite quicker, and sneak up on you.
Light gloves inside of mittens will keep your hands warmer, and you can pull the mittens off to have the dexterity of light gloves for a short need (shooting). A fur "ruff" around the edge of a hood will keep a pocket of warmer air (exhaled breath) next to your face, to help in keeping your from breathing in frigid air.
An "oiled" piece of gear (gun actions) will freeze/lock-up in EXTREME cold... so, a different plan of attack needs to be considered.
When out in the wilderness in COLD climate, it's imperative to have some emergency gear on your body. A means of Cover (shelter), Cordage, a Cutting tool, Container for water/food (thawing/cooking), Combustion materials for being able to start a fire when you're COLD/WET/Shaking, Calories for emergency (Ramen Noodles, Jerky, Energy Bars), Basic First Aid kit, Rx on hand for a few days, a compass to keep your bearings. A note pad/pencil for note taking, an LED flashlight/headlight (spare batteries). With a fire, one can boil water/melt snow for water purification... so, a metal container to do that in is worthy. There are a LOT of YouTube videos out there to help you settle on what gear will be good kit for your needs. Something light/compact will be grabbed to wear much faster than a bulky/heavy pack. Heavier gear can be hauled on your conveyance (quad/horse/vehicle...).
