A short video and a long explanation of layering in preparation for winter camping.
Barrowed from Northern Tier BSA high adventure bases.
Your inner most layer closest to your skin is referred to as the “base layer” and should be something like Under Armor Cold Gear, and be well fitted. This layer is especially important as it helps regulate your body temperature by moving moisture away from your body. Though Under Armor can be costly as some pieces retail for 50-60 dollars. What I suggest is checking sporting goods stores and even the camping/ hunting section of Walmart and Kmart stores. You are looking for a synthetic thermal or synthetic blend. You want to buy something made of Polypropylene, Polyester, Wool, Acrylic, or some blend of a few of them. While good old cotton “long johns” may be easier to find and cost much less, cotton is almost useless once it gets wet from the snow or sweat, while synthetics wick moisture away and help you stay warm. I recently found a good buy one get one free deal at Kmart for men’s thermals made Indera .
The inside is made of what they refer to HydroPur Polyester and the outside is 70% Polyester, and 30% Merino Wool. The price was $16.99 as 
you can see on the tag, at buy one get one free that’s a shirt and matching bottom for under $20.00 with tax which is a good price for the comfort and warmth they should give to anyone who wears them outdoors. While we are talking about a Base Layer you should also consider sock liners and glove liners. You can use nylon dress socks as cheap alternatives to sock liners, though they don’t work as well as actual sock liners. as far as glove liners any cheap synthetic thin lightweight glove will do.
Your second layer is your insulation and should be Wool or Fleece, again avoiding cottons as much as possible because once it gets wet, and it will get wet, the insulating ability of cotton is less than 1/3 its original value.
- For your body I suggest a few light and mid-weight fleeces that you can wear over top of one another, I personally start with 1
well fitted (almost snug) fleece and add a second slightly looser. On top of that for more warmth I add a Wool coat as Wool keeps in warmth well in all conditions. - For your Legs I recommend Fleece or Wool pants, such as fleece pajama pants, though you can use denim if you don’t have anything else. I don’t recommend cotton sweat pants as they soak up water like a sponge.
- For your feet I recommend a good pair of wool or wool and synthetic blend socks to go over your
sock liners, you will need a few pairs of these as they may get wet or damp from wet or snow that got into your boots. - For your hands a good pair of winter gloves that fit over your glove liners are a must. They should offer nearly full dexterity so you need not remove them when out in the cold as well as have some grip. They may or may not feature a Nylon or Gore-tex shell to resist water.
Finally the outer shell layer, this is your wind and waterproofing layer. This layer should feature something with a rugged shell made of Gore-tex or nylon and protect you from wind and water while retaining the body heat trapped by the underlying layers.
- For your body a good winter coat made of Nylon or Gore-tex or some blend of fibers that repel water and are windproof is a must to ensure you stay warm and dry.
- For your legs I recommend Snow pants or windbreaker/jogging pants, while jogging pants may not seem
warm on their own with a layer or 2 underneath they can be quite comfortable. - For your Feet a good pair of above the ankle boots are a must, while many opt for traditional leather
work boots I recommend a winter rated hiking boot or actual winter boot for their insulating properties as well as generally being more water resistant. - For your hands a larger pair of ski gloves or mittens, or gauntlets may be worn over your other 2 layers of hand protection.
If you now realize I completely forgot to mention headgear, a good hat or scarf or combination, such as a balaclava is essential. I personally like to use a fleece balaclava as it can be worn multiple ways. There are also base layers and outer layers available for your head. Usually most people dislike a tight fit base layer hood and they aren’t needed until you are out in sub-zero temperatures. as far as an outer shell most of your coats have an attached hood that is water and wind resistant already attached.
The bottom line is that you should using the layering method when camping especially in winter to stay warm and dry. Some items to do so may cost a bit of money, but there is usually a cheaper alternative that works in similar fashion. The combination of a Base layer, Insulation layer, and an Outer Shell Layer aims to keep you warm and dry while allowing maximum mobility, as well as the ability to shed and add layers quickly to regulate how warm you are.
For more info check out REI’s Layering basics or Outdoor Gear Lab’s Intro to Layered Clothing systems