One wise guy said that all bikes and locks should weigh 50 pounds to be safe. The lighter and more expensive the bike the heavier and more robust the locks.
For the real cold days, I do a base layer, jacket and windjacket up top. Insultated pants and foot covers. Lobster gloves. Balaclava and ski goggles. That served me well down to real cold temperatures (2 F) last week.