My configuration in cold weather is:
Head: Wool hat when dry, additionally hood from rain jacket when wet.
Upper body: Merino wool base layer (not too thick for me because I tend to be warm), maybe another layer of merino wool if it is very cold, down jacket (mostly worn during breaks, otherwise too warm for me), and a proper water and windproof hard shell ...
200 liters of air weighs about 240 grams and heats up about as fast as 240 grams of sleeping bag, or 240 grams of yoga mat, I mean in a short time.
It was reported that the air never heated up much though. Well that was because the air was moving around and dumping heat into the ground, as still air is one of the best insulators.
If a bony person lays ...
The key for cold weather clothing is layers ...some tips (some from experience, some from reading/hearing from others):
Use layers, especially on your top body
Your body (chest/back) is most important to keep warm
Use not thick clothes, but more thin clothes
Use thermal underwear (I'm sure it's comfortable enough)
If you expect rain, wear on the top ...