Dress in layers. We hear that all the time and those of us who like to play in the snow know it to be true. Layers of clothing have air pockets all through them. Once those air pockets are warm they help keep us warm. Clean clothes are better at insulating than dirty ones.
Avoid cotton clothing. Cotton breathes and absorbs moisture from our skin. We do not want a layer of moisture against us to cool us off. Use wool or synthetic fabrics instead.
Keep your extremities warm by covering them. A lined hat, a scarf for your neck and ears, and warm footwear are all important. Mittens will keep your hands and fingers warmer than gloves but you can use liner gloves of wool or synthetic fabrics if you wish.
Stay dry. Non-slip footwear helps keep you from falling and getting your clothes wet. Try not to step in liquid, of course. If you feel overheated, take off a layer so you will not sweat and draw moisture from your body. If you do remove something store it in a backpack or plastic bag so it will not get wet.
I read that Marines begin a cold hike or other exercise by starting off uncomfortably cold. They are going to be exercising heavily and this helps keep their bodies at a more comfortable temperature.
If you know you will be out for a long period of time, eat foods that are high in protein, carbohydrates and fats, and energy building foods. Hot drinks like hot chocolate help keep you on the warm inside too. I like to drink a bit of chicken noodle soup. Make sure to have a good warm snack or meal when you are back inside too. It will warm you faster.
Stay hydrated. Cold air draws moisture from your body. That is why we need extra lotions and lip balm in the winter. Even cold water will work to keep your blood pumping properly. As a matter of fact, drinking a cold, cold caffeinated beverage before you go out will start your heart pumping and begin the warming process sooner.
I purposely left feet for the last thing. Make sure they are clean and dry before you dress. Waterproof shoes or boots are a must. The layer principle is not as important for your feet. Your boots or shoes should be a good fit so layers won't fit well and might even allow cold air in. A light synthetic liner stocking and a heavier wool stocking will probably be best for a long time out.
Remember pets and children do not always know when they are cold enough. Watch them carefully. Pay attention to the weatherperson when you are advised of the amount of time that is safe to be outdoors.
All of these tips are easy to follow and can save you from frostbite and hypothermia. Have a good time out there and be safe.