I feel you, my dear! I'm Brazilian and I landed in Austria a couple
years back. You will soon learn where you feel cold: I mean, you will be
able to tolerate cold temperatures differently on different parts of
your body. For me, as long as my feet are warm and I have *something*
around my neck, I am good. That means I can wear tights (under shorts or
skirts) in the deepest winter. But if I forget a scarf, well, it
doesn't matter whether I have thermal undies on: I will still freeze.
(Because of that, I strongly advise you NOT to spend a fortune on thermal
undies. Most of the ones you can buy on warm countries are poorly made
and uncomfortable. On top of that, you might discover that your "cold
spot" is you neck and the undies - thermal tops or thermal pants - won't
help there. Buy one pair on the destination country for the case you go
skiing... I have never really worn mine on daily basis.)
Of course you don't need to wait until your landing in the snow to figure
out where you feel most cold; you can just think back on a wet/windy day
and remember what item improved your warmth instantly. Or do this test
on an upcoming wet/windy day: try the same basic outfit with a jacket and
without it, plus with tights and without them. Then compare the feeling!
If could only wear one warming item, which one would it be?
Once you've figured that out, go shopping. For the first weeks of winter.
Cold feet? Invest in one pair of boots, no heels (walking on icy roads
is tricky in the beginning), with some kind of shearling lining in it.
If you can't live without heels, low wedges are manageable.
I find Ugg boots (http://www.zalando.at/ugg-aust.....10-99.html) awful, but they are very popular around here. Specially with undergrads. If you're going to study on this Winter Land, Uggs might be a good "I'm one of you"-looks. I, however, would recommend you go for something a tad more refined that you can use both to school and going out. Here's just an example of what I mean: (http://www.zalando.at/anna-fie.....6-802.html; http://www.zalando.at/pier-one.....4-707.html or http://www.zalando.at/gabriele.....o-802.html - Yes, I know... elegant lined boots are hard to find!)
A set of wool scarf+wool beanie helps you keep warm and tie a winter outfit together. I recommend going light grey for its versatility; plus I find black beanies stupid when they are sprinkled with snow (but I recognize that that's very personal/an idiosyncrasy of mine).
Some wool socks and tights. Go for 100-200 thickness. 200 is a bit uncomfortable (worn with skirts for example, their weigh make them slide down rather easily), but there are days (around -14 Celsius) when they are necessary. 100 can be worn without any swearing! Hehehe.
One winter coat. Go for navy or dark grey. (There's some idiosyncrasy here too: I just find that the navy or dark grey coats "blend" better with jeans of any washes than the black wool coat) In Austria, down jackets are very popular too. Note: jackets. These down coats stop a little over your crotch. Long down coats are odd around here. If your cold spot is your lower back, you'll require a longer coat and in this case I recommend you go for wool coats. Military styles should be favored over the traditional blazer-like cut for warmth. (You can manage a military style without a scarf, but that's impossible with a V-neckline)