Are you from a country where you have been exposed to the cold on a regular basis? I'm Canadian and even for me, from Newfoundland, the northeastern Chinese winter is bitterly cold. This year I have been wearing extra protection on my knees and face. Those elastic, wooly-clad things for your knees that you see for sale on the sidewalks or in the shops have been a godsend for me. Just pull 'em on over the longjohns when u head out and you're all set.

I am also in the Dong Bei and I have these suggestions for you.

Firstly, after you shower (in the evening, never before you go out in the morning), give your body an olive oil rubdown.  Yes -- real 100% olive oil. First, it naturally and safely nurtures the skin.  Secondly, olive oil on the skin acts a thin barrier and retains body heat to a certain degree.  Swimmers that go swimming in ice cold water will coat themselves with olive oil beforehand.  Under no circumstances take a shower and then go outside immediately.  Never.

Secondly, continue with the layers of clothes but they should layered and be of thin wool, not heavy wool.  Be very careful not to overheat your body so that you sweat profusely and that as a consequence your inner clothes become wet -- you risk pneumonia with this.  Buy yourself a good pair of woolen long underwear, the thinly-combed variety.

Thirdly, make sure that you eat a warm, hot nourishing breakfast and a good hot lunch.  Your body burns more calories during cold weather than during hot weather and constantly requires energy during this period. Increase your carbohydrate intake by about 25% during the worst of the cold periods  to provide your body with  a good source of instant energy.  Additionally increased carbohydrate intake to a certain degree serves to keep your mood steady.

Extreme cold saps the body of vitamin C to make sure that you continue with an extra dose of easy digestable vitamin C, either through supplement form or through food.

Pay particular attention to heat loss through your head (meaning keep it well, well covered) and through your feet (thermal shoes please and good socks here).

Buy a good mouth mask / nose mask and wear it when the weather is bitingly cold or if the air is exceptionally polluted and the weather is bad.

Buy ski gloves or extra thick gloves for your hands and a good downfilled jacket.  I bought the winter coats that I use here in China and one keeps me quite warm and makes me look a like a KGB agent and the other is so downfilled and bulky that it adds probably 5 kilos to what I carry.

Finally, when it hits - 30 C., I take a good shot of brandy and or whiskey and hot water before I go out.  I usually don't drink, in fact almost never, but in that weather, well I make an exception.

shenzhen hot as hell here

I am in Guangxi Province, and it has been from 4 to 10 C all week long, and in my opinion it feels bitterly cold because the humidity is sky high.  Back in USA,m in the Rochester/Buffalo area, I never felt this cold, but it was dry cold, not humid as here.  That is my feeling, any way.

I do use wool underwear, lumberjack long sleeve shirts, a wool sweater and a leather jacket, and still feel the cold a litle bit.  One of my hobbies is home made wine, and I do make about 5 gallons of it every year.  This year I did strawberry, cranberry, pineapple, orange, banana, lemon and grape wine, about 25 % by volume content.  I do take a shot in the morning, and have an empty water bottle that I refill with one of the flavors, and do use during the day, as I drive an electrical bike around.  It does keep me warm and happy too.  I use an electrical heater on low during daytime in my bedroom if I am there, at night I do have an electric blanket, and it does keep me very warm.

I'm in the Great White North. I know animals living in cold climates often have greasy fur. I never really thought about this until I read 981977405s post. I don't feel the cold or heat like some people. My skin is oily, I have never had a bead of sweat on my face. It took me quite a while to convince my Chinese GF that my house stays warm. I guess this would be hard to realize if you've never experienced it.
 I need a plan to keep warm in China ! The buildings aren't insulated. Do you think it is hard to hire maids that act as bed warmers. We have a saying here about how cold it was,ei last night was a 3 dog night, meaning we slept with 3 dogs to keep warm. I think I would be willing to break this tradition, since I can't bring dogs with me. How cold is southern China, more than a 2 girl night? Anyone know the going rate for a live in bedwarmer? They should be cheap, I'm paying for the bed they get to use.
 Outdoors I don't get cold unless the wind is strong and the temp -5* or colder. When it gets this cold I do up my coat, may even wear gloves.