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The only way to stay warm and avoid looking like an overstuffed goose in this weather is to take advantage of cutting-edge fabric technology and go for some super-thin long underwear.
I like the look of the No Panty Line Promise Modal top by Jockey (shown above) for the variety of colors and also the scoop neck, meaning that it'll stay hidden under sweaters and tops with lower necklines. There's also a V-neck version with lace edging.
A thermal romper by T by Alexander Wang is the fashion industry's answer to the union suit.