^I think the best thing that you can do is invest in a properly warm winter jacket, one that will withstand the wind as well. Perhaps check out brands like Patagonia, North Face, Columbia, Marmot and stores like Eastern Mountain Sports (it's outdoor sports store). These are more 'out doorsy brands' but if you want a properly warm jacket, I'd try your luck with a brand like this before going high-end designer or whatever. I mean, they are designed to brave the weathers!
I have my nice winter wool jacket and then I have a snowboard style jacket for the particularly cold and windy days. I personally don't have a down jacket but my mom and lot's of friends do and they swear by them too.
Besides a jacket, maybe treat yourself to a nice pair of wool or leather gloves? I'm personally a fan of leather gloves with a warm lining (mine's wool), I think they look chic and keep the cold out nicely. As to the question of thermals, I've definitely worn it at times, mainly while skiing but sometimes when I'm out and about. If you aren't used to the snowy weather then getting a nice, thin but warm thermal is probably a good idea (Under Armor is good. And I really do suggest looking at Patagonia because they have a ton of thermals and baselayers, in different colors and patterns too, they don't really look like they are thermals either which is nice). Oh, also, get yourself a nice pair of winter boots, you don't want your feet to get soaked from all the snow. There are a ton of great brands out there, I'm partial to L.L. Bean Boots, but then again I'm a Northerner through and through, and they are practically worn every day during the winter!
And finally, a word of advice that my dad always says, "There is no such thing as inappropriate weather just inappropriate clothing!"
I know too many stupid people who don't ever invest in quality winter pieces and then are shivering their a** off. To which of course I laugh as I walk by in my nice winter jackets and bean boots!
Link to the thermals that I was talking about....
http://www.patagonia.com/us/shop/womens-baselayer?k=1E-6M