I've found that there are a few things that, especially when combined, make it much easier to stay warm!
Sweater Tights: These will help keep your legs warm. I absolutely love mine. Sometimes I'll even wear them under pants if I need a little extra coziness (can you say snowy football games?) These are also great because you can get away with wearing socks underneath them, since they're not see-through. I've also heard that they have this magical new invention of fleece-lined leggings. Normal leggings would work well, too.
(Another tip, skirts sometimes stick to tights and stockings and definitely to leggings and this will make your skirt ride up and get bunchy when you walk. A slip will fix this.)
Gloves: Even the stretchy, knit kind will help immensely. If your hands and feet are warm, the rest of you will deal with the cold much more happily.
Boots: Dressy boots that can be water-proofed (they sell cans of water-proofing spray at lots of shoe stores) will keep your feet dry, which is hugely important. Wet feet means cold feet. Boots will also help keep your ankles warm!
Coat: Invest in a good coat that is warm as well as cute. I have a coat that I've used since high school that is thin and tailored, but is as warm as the puffy marshmallow coat I used to have with down-feather filling. I also have a couple other coats that are a bit more dressy, but not as warm or waterproof. I usually wear these with a sweater underneath if I need to be outside for a long time to keep the wind and cold out more effectively.
Hat: You lose a lot of body heat from your head. If you keep it covered, you'll be warmer! Your ears will thank you as well.
Scarf: They're cute, they keep your neck warm, if it's bitterly cold and windy you can pull it up over your face, or use it to cover the top of your head. Use it to add a little color or pattern that your coat might otherwise be covering in your outfit.
Here are some of my favorite winter outfits (just make sure you add a coat!)
Knee-length button up dress with sweater tights, scarf, and boots
Pleated maxi skirt, drape neck blouse, leggings (worn under the skirt for warmth,) and shiny black wedges
maxi skirt, t-shirt, chunky-knit sweater, wedges, and adorable vintage-style hat!
knee-length sweater dress, teeny belt, knee-length fuzzy socks, and zip up boots (tall enough to hide the socks)