The advice of looking after your extremities is absolutely true and especially for astronomy. Standing around in a cold field doing little or no exercise means you must conserve as much heat as possible and the extremities is where your body loses it, fast.
Most heat loss is through the head and I find a fleece lined hat works best although it's important to ensure your neck and ears are covered too. I do this with a fleece neck gaiter - a tube of material that sits snugly around the neck and ears and if it is windy I pull the hood of my jacket over the lot to help provide a little more wind proofing.
Quite a lot of heat gets lost from your feet where it gets transferred through to the cold ground. Good, insulated boots are a must and it is worth spending a little on a decent pair with some thick woolen socks. It's important that the boots you get aren't too tight, so take along the socks you will be wearing to the shop and ensure you have room to move your toes. Don't forget, this is about standing still in a cold environment. You want to be able to move your toes to encourage blood flow to your feet and keep them warm.
You should choose a boot that is well insulated in the sole as well as the main body of the boot. I must confess, I cheat and use heated boots. They are great, as battery powered (rechargeable) heating elements in the sole stop the heat transfer and keep my feet toasty warm.
The final area to consider are your hands, which I find the toughest part of my body to keep warm. With eyepieces, tiny screws and Allen keys, I find I need to maintain my dexterity but need insulation to keep my hands warm, particularly as most parts of the telescope and mount are made of metal.
There are ways to deal with this, and here is my imperfect but functional system. I start with a thin pair of thermal gloves. I then wear a pair of medium weight fleece gloves that provide most insulation. If the temperature drops below freezing, I place an electric or chemical hand warmer in the palm of my hand in each fleece glove. If you don't have hand warmers a neat trick is to swing your arms back and forth for a good few minutes - this sends blood into the hands through centrifugal force. Its best to keep your hands lower than your heart as this minimizes stresses on it.
Surprisingly, it works and lasts for quite a while.
It may be cold out there, but it's also really dark! Read Mark's tips on adapting your eyes for prime observing this winter.