Don't forget to drink
I've been running for several years and I discovered a few years ago that if I did a run and didn't drink water during the winter, I would get a chill that just wouldn't go away, even well after a run. Make sure you drink even if you don't feel like it.
If you are going to finish your run and not be able to shower immediately, be sure to have something dry to change into so you don't have to be in damp clothing.
Smart wool makes good wool socks that are wicking.
I wear small, thin gloves, as well as a jacket with long sleeves. When my hands get too hot for the gloves, I just pull my sleeve over my hands. My friend that has Reynaud's syndrome (cold extremities) uses hand warmers in her gloves. They are available at sports and skiing stores.
Its fun to feel that you have beaten the weather and gone out for a run in the winter.