A lot of this goes back to being prepared. Even a light hike in unknown terrain or with spontaneous weather can turn for the worst. Having a small kit with you will always help out and, should something happen, will more than make up for the weight.
Having something to start a fire with is a minimum, flint/steel, a few matches, whatever suits your style and experience level. Make sure to practice building fires at home/in relative safety.
As noted in other posts, carry more layers with you than you may need. This doesn't mean you need a down puff. Consider what the weather is like in the area you will be. Consult forecasts before going out and consider your own level of tolerance for exposure.
Avoid cotton. Cotton does not retain warmth when wet.
As noted, get out of the wind. Look for or build a shelter that will break the wind. The wind will disturb your outer layer of warmth. I carry a lightweight wind/rain layer with me on every hike, it lives permanently at the bottom of my pack. In a pinch, you can use it for other purposes (gathering water, flotation device, small tarp, etc.); so, it's worth its small weight.
Make sure to carry some sort of energy/high protein bar/gel with you whenever you go out. I usually have at least one stuffed in a pocket in my pack. Again, worth the weight regardless of where you're going or for how long.
As noted, learn to make a simple shelter that can provide protection from the elements and warmth. Learn how to properly integrate fire into your shelter plan as to not burn down your abode :)
Insulation on the ground is worth ~1 layer of insulation on your body -- or so.
Always tell people where you are going and how long you expect to be.