Wearing skirts might not seem like the obvious way to keep warm, but think about it...
You can wear skirts in heavier fabrics than trousers and still look chic - compare gabardine with heavy wool tweed or nubby boucle. A lined wool pencil skirt (take it 30s or early 50s length for extra coverage), worn over opaque tights gives you three layers. In fact since I don't own jeans, this was pretty much my 'uniform' for early morning car boots throughout last winter, with boots, sweaters and an overcoat.
Plaid & tweed dresses, Everywoman magazine, 1943
Variety in tweed skirts, Sears & Roebuck, 1956
Tweed & plaid co-ordinates in Sears & Roebuck, 1957
Go one step further in a wool tweed or plaid jumper dress (a.k.a. pinafore dress), layered over a cashmere sweater - perfect 1950s casual chic.
Full 50s skirts with multilayer petticoats are surprisingly insulating. Explorers on early Arctic and Mountaineering expeditions always wore many thin layers of clothing; multiple thin layers can be warmer yet lighter than one thick layer, because the air trapped between layers serves as thermal insulation. So when your boyfriend asks if you really need another froufrou crinoline, tell him it's for warmth!
Quilted circle skirts are both classically vintage and wonderfully cosy - after all, you're basically wearing a duvet! Wear with layered petticoats (see above) for super insulated vintage style.
Search quilted circle skirts on etsy
Another option is to choose knit dresses, though they're generally not cheap to buy vintage. My wardrobe has a gap here - every autumn I take up the search once again for the perfect knit dress (at the right price!).
1940s knit dress patterns, Dair on etsy
Knit dresses in Sears & Roebuck, 1955
And what to wear underneath? Well it's not strictly vintage, but I like good opaque tights (you'll probably need a petticoat or slip if the dress/skirt isn't lined) Marks & Spencer do a line of Merino wool tights which are very warm (you have to get there quick though because they usually sell out early). For the purist, knitted long socks or wool stockings are very vintage with a tweed skirt. And how to keep the draught off the tops of your legs? Why, with frilly bloomers, of course!