Dressing in layers is essential on any cold ski day. On the top of the mountain, it may be windy and cold, and you need to be prepared for this. You can always remove a layer if the sun comes out and warms up the mountain, but if not, layers are sure to keep you warm. Dressing in layers is key to staying warm on any day of skiing.
The first layer you will need to wear is your long underwear (a shirt and pants). Old "long-johns" made out of cotton, wool, or flannel will not keep you comfortable on the slopes. Instead, Breathable under-layers that wick perspiration away from your body and eliminate that cold, clammy feeling are excellent, and they are available at many stores for inexpensive prices.