Roman soldiers were very practical people, and undoubtedly supplemented their "regulation" tunics and cloaks with local fashions when necessary. A number of clothing options are available to keep you healthy and happy at cold-weather events. These are all non-issue items, and can be made of any reasonable shade of wool (Celtic plaids and checks are worn at your own risk!). Keep in mind that we want to look as Roman as possible, and go with bare arms and legs if you can.
Both long and short trousers were known as braccae. Short trousers, apparently from southern Gaul, were also known as femenalia, from the Latin word femen meaning thigh; not from femina or "woman"! In illustrations they are tight-fitting and reach to just below the knee. Modern writers often describe them as being made of leather, but wool is warmer. Long trousers, from northern Gaul, Germany, and Britain, were close-fitting but not as tight, and could be ankle-length or have feet. No trousers survive from Roman sites, but several pairs have been found in Danish bogs. They are quite complex and some have belt loops. A simpler pattern with a drawstring waist may be used (but a belt is more comfortable).
Socks are known from several written sources and are shown in the Cancellaria relief. A child's sock was found at Vindolanda.
Civilian socks could apparently be brightly colored to show off one's fancy openwork shoes, but those worn by soldiers were probably more practical. Due to lack of evidence, a number of different patterns have been used. A simple square or rectangular wool foot-wrap is also an option.
In extreme weather, the gap between short braccae and udones can be covered with rectangular leggings wrapped around the lower leg and tied below the knee and at the ankle.
Long-sleeved tunics were worn by Celts and adopted by several notable Romans including Julius Caesar. A long-sleeved tunic may be worn under your white one, or over it if it is also white. The body is similar to the normal Roman tunic, but shorter (mid-thigh length) and not as wide. There are no gores or gussets. The sleeves fit closely along the forearms, then widen up to an 11" or 12" armhole. Be sure they are not too snug; measure around your first and add 1" to get the minimum circumference. One statue of a Gaul shows a cuff that is slit and turned back 3"; a narrow band of scalloped trim or embroidery runs around the cuff and up the sleeve seam.
A wool or felt pilleus cap is shaped like the pointed half of an egg, and can be sewn together in 4 segments.
There is no evidence for mittens, and you will probably never need them, but simple ones made in two identical halves are acceptable.