A lot depends on how warm or cool your body runs.
I live in Eastern Ontario. Our winter temps average in the 20s on the fahrenheit scale (somewhere around -7 to - 10 celcius), so perhaps a bit warmer than you are talking about -- though nights are, of course, colder. And with the wind chill off the lake, it can get extremely bitter. Often they will say "feels like 40 below" with windchill.
I regularly go out in tights and a skirt in the winter months. Even in deep winter. In fact, I probably wear skirts and dresses even more in fall/winter than I do in summer (and I love a dress in summer!) But here is how I would do it:
Tall boots, tights, skirt knee length or longer, coat at least knee length. LAYERS are key. So...under the dress or wool sweater, I might have a camisole, or over it a wool jacket (in addition to the coat). Coat will be wool, or a puffer coat. I will be wearing a hat, gloves, a scarf. Ideally, the boots will have insoles to provide a bit more protection from the cold pavement.
Angie actually layers her tights (more than one pair) but I have yet to try that method. There are also wool tights and fleece lined ones that some people wear. Again, I haven't done this.
I would wear an outfit like this if I were walking relatively short distances - expecting to be outdoors for 20 to 40 minutes at a time. (This is another key - movement keeps us warmer!) If I were spending much longer outdoors or if I were intending to stand still the whole time I was out, I am not sure i could manage this.
For casual situations when I will be outside much longer, I would, of course, wear some sort of sport-appropriate clothing.
