I always find it much more comfortable being too warm on a run rather than being too cold! It definitely keeps me healthier too and illness free by not allowing my immune system to be suppressed in such cold conditions. Headband, gloves and a warm running jacket are essential.
These Nike leggings have been an absolute blessing! They are of a different material to my other leggings – very thick and so keep all the heat inside, plus they are super reflective which is much safer for you to be seen by cars! Nike Flash Leggings.
http://store.nike.com/gb/en_gb/pd/flash-running-tights/pid-1556597/pgid-10259696