Wear layers and virginia-tuck.
When it's pretty cold (20'sF and below) wear a short-sleeve-t-shirt, long-sleeve-t-shirt, and flannel all tucked into your pants and a large sweater on top tucked behind your gun. Don't forget the long-johns either; and keep your feet, hands, and head warm. Maybe you'll need bigger pants, but it's pretty easy to OC and stay warm.
Take the sweater off in the 30's, take the flannel off in the 40's, and take the long-sleeve-t-shirt off in the 50's. Over 60, carry mexican-style in your swim trunks and go shirtless! :lol:
Adding/removing layers is my way of adjusting the thermostat. Dress in layers around the house and you'll save money on your heating bill, too. I keep my thermostat at 60 for most of the winter. Why so high? If I go any lower my pipes start to freeze.
EDIT: Realized that wearing gloves could make it difficult to draw and fire. Just wear one glove.