I know the feeling you are talking about. All of the sudden the reality of cold sets in even if are not overly cold at that time. Sometimes when camping and somebody says "I am cold" there is a suddenly serious talk of  "like you need another layer cold, so cold another layer is not going to help, need to do physical activity cold, need to get in a sleeping bag cold, didn't bring the right clothing and need to go home cold" or are you simply stating that "its cold outside"?  

I haven't had it in awhile, but on a recent trip, I snowshoed/hiked into the Stratton Lake area with somebody who had never winter camped before and I suspect had never traveled back country at night. We left on a Friday at lunch knowing we would likely be hiking in light but setting up in the dark. But soon as it started to get dark my companion seemed get very insistent we find a place to camp, anywhere to camp immediately because it was cold outside. I am pretty sure they suddenly realized that there was no warm sanctuary. It was all fine in the end. You are only as warm as the gear you brought + the activity you are doing.
 

All the thumbs up to Swedish Pimple's wool recommendation. I was wearing wool socks on the 1st 15km ski day and my feet were very comfortable. It wasn't until we got back to the lodge that I realized that they had been wet (I don't have the greatest ski boots). But I stayed warm because of the wool. 

The next day, we only did about 7km and my socks were only about 60% wool and my feet were cold! Not dangerous-cold but uncomfortable-cold.

been hot and cold camping for decades, and snowshoeing since I could walk! What  I'm going to tell you will sound painful and nasty, but it works!
Carry a small piece of plastic or waxed canvas (I prefer the canvas, it doesn't blow around) with you (about 2x3') and bring TWO extra pairs of socks and a small towel I used a tea towel when I was a kid, now there's micro fibre. When you stop for lunch, roll out the canvas, park your butt on it, pull off your boots one at a time, and yank of that wet sock (yeah, the cold air burns! that's the sucky part), and dry it well with the towel, now pull on both pairs of socks, and plant each foot on the canvas- you can flip it over your foot if windy. After doing both feet, wipe out your boots with the towel, and pull off the extra socks (save for a reserve), and put your boots back on. Now you have dry feet (towel and air dried), dry socks, and dry boots, and your feet get a rest to boot, and getting off them allows better blood flow to the soles which warms them considerably. You can do the same with your hands- cold gloves off, dry the hands, fresh gloves on- and the flexing pumps blood to the tips!

Hi folks, this is a very interesting thread.

When I go on long day hikes, I like to pack some emergency type items: emergency blanket (that can also be used as a tarp or windblock), some firestarting material and a lighter, a few extra Cliff bars, an extra clothing layer, basic first aid, etc. I find that just having that sort of thing with me gives me an added layer of confidence.

I can't wear wool as I have an allergy to it, but I do find that polyester sock liners and base layers keep me from getting damp and cold, providing I have been taking care to add and remove mid and outside layers when necessary.

Tracy

I pack heavy, even for day trips. I'm not sure how much of that is due to natural inclination versus how much is lessons learned. One occasion I remember is a spring fishing trip where we day tripped up to Welcome from Pen. It was a beautiful 20C+ day and a couple of the guys just went in t-shirts. Of course, that guaranteed it would cool off in the afternoon and they were getting cold before we left Welcome to head back. Between the portage and the paddle that was at least another couple of hours back to camp. It was all good in the end, but another reminder to keep the extra layers with you. 

My general goal is to have 1 more layer with me than I need by the end of the day or trip. From one perspective that can be seen as carrying more gear than I needed. From my perspective, it means I always have a margin of safety. It's when I'm wearing every layer that I have with me and still getting cold that I'm potentially in trouble. 

I think cross country skiing tends to push folks towards risky behaviour because there is a tradition of dressing lightly for the vigorous exercise. However, something as simple as a twisted ankle on a short 30-60 minute trail can become deadly.