I know it's much colder up north right now with this winter storm we're having, but here in North Texas I finally got to try my cold winter wear with temps ranging from 13 to 20 degrees F and wind chill of about 0 F. I took a leisurely one-hour walk in the morning as a test, and later this afternoon I took a very brisk one-hour walk up and down hills that created a slight sweat.
I found out my Korean War era M1951 U.S. military surplus mid-weight wool pants (olive drab green) work well with cotton longjohns underneath (only kind I have at the moment). My legs never felt cold. By comparison, my legs felt chillingly cold with blue jeans alone the day before (similar temps). FWIW, I got those M1951s for only $15 online about 2 months ago.
Using several layers up top with cotton thermal, cotton t-shirt, cotton sweater, flannel shirt and a G. Fred Asbell wool pullover hoodie over everything, I felt no cold. But if I took off the flannel shirt, I did feel a tinge of cold up top. Didn't feel much difference between the non-sweat producing leisurely walk and the slight sweat producing brisk walk, but that may be because at the end of both walks I went back inside my heated home. I guess if I were to have stayed outside I may have felt much colder afterwards from the slight sweat using so much cotton underneath - but like I said, that's all I have for now.
Feet and toes were nice and toasty using heavy wool socks and Chippewa snake boots the first time around and regular muck boots with liners the second time around.
Hope this helps others considering wool clothing for the cold.