You're just going to have to add thin layers, I think. I'd start with silk, which remains perhaps the thinnest and lightest insulating layer around. Lands' End, for instance, sells women's silk pants and crew for $25 each, providing a very good base layer. Over that, I'd add some long, wool underwear. A company called Icebreaker is introducing its line of Australian Merino wool products into North America. It makes a mid-weight long-sleeve shirt, called the Long Sleeve Crew ($66), and matching leggings ($64). Very, very warm for the thickness and weight.
After that, I'm kind of stumped. Fleece is off the table, so is anything puffy. You might find some success with Patagonia's Puffball Sweater ($145), a trim-looking pullover that uses a fairly thin layer of Thermolite for insulation. Or, look again to wool. Ibex makes a jacket called the Neve ($260) that is warm, highly wind-resistant, and good-looking.
In any event, the key is to add at least two layers real close to your body. If you do that, then you won't have to pile on as much stuff, and won't end up looking like the Michelin Man.
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