Clothing provides protection from the ambient temperature and outdoor wind chill by adding a "Clothing Bonus" and a "Clothing Windchill Bonus". Only the outermost layer of clothing adds to the "Clothing Windchill Bonus". Therefore the clothes with the best windchill stats should be worn on top. (This accounts for "Protection" Bonus and "Waterproofness" as well)
The "Clothing Bonus" is a constant effect and will increase the "Feels Like" temperature at all times so long as the player has the clothing equipped. The "Clothing Windchill Bonus" is only effective when the player is sustaining a temperature drop from windchill and acts to negate it. The bonuses are added to the true temperature (ambient temp. + wind chill) and are displayed by the "Feels Like" temperature.
The amount of bonus each article of clothing provides varies depending on the type, quality, and condition of the item, making it essential that the condition of the clothing is maintained through repair. Equipping clothing on your character consists of two layers (inner and outer) for the torso, legs, and feet, and one layer for the head, neck, and hands. The windproof and warmth bonuses are scaled linearly based on the quality of your gear, so repairing items and upgrading to higher quality items when available is recommended.
With the newest update, Resolute Outfitter, clothing will become wet, then frozen in certain circumstances. Your clothes gradually become wet when it is snowing or when you walk and sprint on ice. They also become completely wet when you fall through weak ice. Clothes will start to freeze when they become completely wet. Clothes will gradually dry off when worn in warm interior locations, or when worn or placed near a fire. As clothes become wet and frozen, their warmth and windchill protection bonuses will reduce and become heavier. Furthermore, wearing frozen clothes has a risk of frostbite. How quickly clothes dry off and the amount of warmth and windchill protection lost when wet depends on its waterproofness. Clothing will also now provide a protection buff against physical damage to your character (i.e. fall injuries, burns, attacks from wildlife). However, bulkier items will restrict your ability to sprint (mobility penalty).