It's 30 degrees right now and we just returned from a walk. We try to walk every night as long as its not raining and DD is always warm :)
If I'm wearing DD in the Moby (this is my favorite because she always seems warmest this way) I'll put her in her footed sleeper and a hat and then I just wear my normal hoodie and jacket, both zipped up high enough just to allow air flow above the zippers. Last night was really cold so I tucked a blanket between the Moby crosses for extra warmth. The only night this didn't work was one with particularly cold night with wicked icy wind, and we turned right back around and went home because she started fussing when it hit.
On not quite as cold nights (closer to 40) DH will wear DD in the Ergo with the infant insert. If we do that, I put her first in a footed sleeper and then in a Carter's fuzzy bear snow suit thing and hat. DH wears her outside of his coat but between the insert cushion and her suit, she's always been warm.
If we push her in the stroller we bundle her up most (obviously). I usually put her in a footed sleeper and a pair of socks, then the bear suit and a hat. Since we're only walking, we put a thick blanket down in the carseat for DD to lay on, then we wrap the ends around her legs and then cover the top of her body with another thick blanket. Then we close the hoods on the stroller and the carseat or use our bundle me cover. I'm always most worried she'll be cold when she's like this, but so far, even on really cold days/nights, she's stayed nice and toasty. One particularly cold night the tip of her nose was cool and pink, but only once we were a few minutes from home and she slept right through it, so I didn't think she was uncomfortable.