You may have noticed that a windy day feels much colder than the number on the thermometer. That effect is called wind chill, and it matters when you choose what to wear.
Your body warms a thin layer of air next to your skin. Wind strips that layer away, so you lose heat faster than in still air at the same temperature.
This is why a windproof outer layer is so valuable. Even a thin shell that blocks wind can transform how warm you feel, and it works well over insulation.
Check forecasts that report a feels-like temperature, and dress for that value, not the air temperature alone. Cover exposed skin on the face and hands when the wind picks up.