OK, I'm really NOT the guy to respond to this - I have a medical condition that leaves me cold at the best of times, I work out in 80 degree plus heat in 2 shirts and a fleece hoodie. You should see me this time of year at my gym at my group fitness class - usually two hoodies on top of two shirts and shorts, on top of a compression shirt and compression shorts or compression long pants, and generally 2 pairs of socks. As soon as I start to get warm and sweat, I usually break out in chills.
When I ride in temps under 40, I really layer up - thermal base layer, 2-3 shirts, bike shorts, long bike pants, hoodie (or two), two pairs of socks, gloves, coat of varying thickness, hat under my helmet. Much below 25, it's full out winter gear including snow pants, and Columbia heated coat, boots, and gloves. Obviously, it keeps me warm, and believe it or not, I don't end up TOO drenched in sweat, or if I am, I'm ok as long as I keep moving - wet and cold is the real problem.
That's me, that's extreme. But the point is - layering is your friend. Invest in some kind of good thermal baselayer made specifically for workouts - not just some random long-johns. I like Under Armour's Base Layer 4.0 - seems to be the warmest of the various kinds I've tried.
Hard to say what exactly will work for you, but I'll say this - if possible, start with more layers, and remove the excess if you get too hot. I usually wear a backpack, so I have a place to put the extra clothes if I have to shed a layer.
