We used baby legs, both on our wrists and ankles. My dd's pants would always ride up on her legs and they worked great for making sure her skin wasn't exposed. Same deal with her coat and gloves, I just can't get the coat and gloves to stay together. We still use them now and she is 5, so it's a worthwhile craft, cuz you'll get tons of use out of them.
Here's a tute for making them http://www.craftster.org/forum/index.php?topic=265854.0
I didn't finish mine as nicely, I ran the serger over the edges with a satin stitch I believe, it made it ruffle just a little. We also made a set with a button hole for her thumb and that works great for under gloves.
Of course the best way to keep warm is to stay home and snuggle!!