Polarn O. Pyret says; We love layers.
When should my child wear a hat? How warm is this jacket? Can these trousers handle sliding on ice? Our customers have lots of good questions. And we love giving good answers – we could go on forever about children’s clothing and the weather. But if we could say just one thing, this is it: Layers. Layers are the best way to dress children. Children feel the cold differently. Some are constantly moving while others sit still. Finding clothes that work in both rain and freezing weather is not easy. Dressing in layers lets you add or remove clothes as the weather changes. No matter what type of child.

Layer 1 / Base layer
In really cold temperatures, a base layer in wool or polyester keeps children warm. Cotton underwear does not wick away moisture, and the wearer will feel cold. A polyester base layer is soft as silk and ideal for active children. A wool base layer is best for very cold temperatures.

Layer 2 / Mid layer
A good mid layer wicks away moisture and retains body heat. If the garment does not “breathe”, body temperature will fall. Fleece and wool blends are comfortable to wear and ideal for outdoor play. Both fabrics transfer moisture and trap a layer of warm air.

Layer 3 / Outerwear
Good outerwear protects against wind and rain. Children’s outerwear should also be tough enough to cope with play and adventure. This layer should be easy to open, and easy to close in wind and snow. Our outerwear has a coating that wicks away moisture and prevents water from seeping in.

Source: http://polarnopyret.co.uk/shop/page-article/action-article.show/id-1
We’ve talked about dressing your child in layers when cold outside before. Read the article here.