I'll second the bicycle/lycra shorts idea. I've been out piping in cold (38 deg F), blustery, damp weather for 3-4 hours and not had a problem keeping 'certain areas' warm when wearing such shorts under a 13-oz kilt. Wear a second pair of socks (long athletic tube socks) under your hose as well. (That'll help with 'wind chill'). The knees got cold, the toes got cold (especially after they got wet), the fingers got cold, the ears got cold (Glengarry), but everything else was OK.