In reply to ice.solo:
Another approach used by the Scandinavians (and others) is to carry baby (so they get your body heat) and wear a coat to go over both of you, eg
http://www.mamdesign.net/carrying/clothes/mamcoat.html
Either way, I found merino wool thermals and woolly ski socks went a long way to keeping baby warmer, however many layers you then add over the top.
Columbia and Spotty Otter do down clothing. It depends a bit on how big baby is, and if they're likely to want to come out of buggy/carrier to crawl/toddle around - it's all very well insulating the buggy until you 6 month old decides they really want to crawl around the snow and eat it.....mine did!