There is some merit to acclimatisation, but you have to be careful if you're out in the cold for prolonged periods. It's also unclear to what extent you acclimatise in terms of just comfort, and in terms of actually keeping warm (by burning more calories, which might or might not be desirable in its own right).1
Natural insulation is interesting. It insulates your core, but temperature perception is in the skin, outside subcutaneous fat.
Both of these are smaller effects than the difference in people's cold tolerance - not just how much you feel the cold, but how much you mind it when you do. There's also the effect of a water/wind-proof outer layer.
As an example, in your climate, I'd be inclined not to wear long johns above about -10°C if wearing something reasonably warm and windproof on my legs (and good socks) and being reasonably active. But having tested mine down to about -20°C, I'd want more than those if standing around, and by -35°C even if active, I'd want significantly more insulation.
There are 2 things to watch out for:
- Getting too sweaty cools you fast when you stop exerting. Making this worse, in very cold air breathable stuff isn't all that great, because water condenses on the inside.
- I would always be sceptical of a "tough it out" attitude. That's how people get hurt, in general. Here, it matters whether you're out for long periods or not. I'll happily go outside for a few minutes in short sleeves down to -5°C, but wouldn't consider it if I wasn't guaranteed to be going back in somewhere warm very soon
1 Seasonal acclimatization to cold in man, Thomas R. A. Davis
and D. R. Johnston, Journal of Applied Physiology, Vol. 16, No. 2, Mar. 1961 suggests both factors are relevant, with a reduction in preferred temperature of 5°F (approximately 3°C), and a small reduction in heat generation but a larger reduction in shivering.