Getting your walking workout in while in the cold weather can prove to be difficult. It is hard to get that right balance in which you are warm enough when you start, but not too hot toward the end. Luckily, you can always take off layers as you walk, but it is also nice not to worry about undressing while you get your workout in. Plus, if you are like me, I do not like to carry around extra clothing while I workout, so I would rather just have one set of clothing that gets me through the entire workout.
Layering is the key to staying dry and warm. Your first layer should be able to wick sweat away from your body in order to keep your skin dry. Try to use clothing made from fabrics like polypropylene, Thermax, Thinsulate, silk, Thermion, and more. Whatever you do, do not use cotton. Your next layer should be an insulating one; this will keep you warm while you warm up, and you may want to ditch this one later on. If you do not want to wear too much bulky clothing, you can use clothing that functions as both the wick and warmth layers. To protect you from the elements such as the wind or the rain, you should wear a loose outer layer. I would recommend getting one with armpit vents. In terms of pants, you can wear long underwear or double up on the pants. Again, avoid cotton and denim.
Your shoe choice can also have a huge effect. The more mesh, the more air that comes through and the colder your feet are. You can combat this by wearing more than one pair of socks (usually one thin polypropylene sock and an outer wool sock), but be careful of blisters. You can also use paper as an insulator. To keep the cold air out, some people use plastic wrap or a sandwich bag between the shoe upper and their upper foot and toes. This prevents air from coming through, but it also does not trap the sweat. Other insulators include disposable shower caps as well as duct tape.
Staying warm is key, and the best thing to do is to make sure that you keep the cold air out and the sweat off of your body!