Avoid Cotton at all costs in the cold.
It is a terrible insulator. If it gets wet, it gets cold and doesn't dry...if it gets cold enough it will freeze to your skin...
Dress in layers. Wool, fleece, polypropaline...Easy to regulate your heat that way. Take things off when you go to play, put them on when you go sit for a rest.
Take care of your feet. Wool or synthetic socks. Lots of extras. Good boots, waterproof if possible...
Drink lots of water. It may not be hot and you may not feel thirsty...but you are still loosing water and need to replenish.
Eat lots of food, carbs and protine. Your body needs the energy to keep warm let alone exert energy to play. Feed.
Gloves to play in. Mits to rest in. Extras.
Hat. Toque. Scarf...
HPA, Mec, and lube.