There is no such thing as bad weather, just bad clothing.
Cotton kills: Cotton soaks up sweat like a sponge and all that moisture just sits there, making you freeze. Ditch the cotton and dress in layers.
1) Base layer: A fancy name for long underwear. Use a natural or synthetic base layer that pulls sweat away from your skin, a process known as wicking, to keep your skin dry. That helps keep you warm.
2) Insulate: A mid-layer like fleece or a thicker wool layer seals in warmth and lets moisture evaporate.
3) Outer layer: A good shell will keep out weather like wind, rain and snow, but trap in heat, while still letting moisture escape.
Dressing in layers allows you to manage and regulate body temperature, by shedding or adding them as needed.
Now, go play in the cold.