Layering. It's key. It will allow you to shed a layer if you need to as you warm up, then put it back on if you need it later during cool down. Start with good underwear. Merino wool is awesome, wicks moisture from the skin, and is sooo warm. But chi chi expensive! A good alternative to merino would be a good, finely spun polypropylene set of underwear.
Next, I like the idea mentioned above about fleece lined jeans. You can also get jeans lined with lightweight wool. Either would be good for standing at the range. Get a nice, midweight fleece, or if you want to splurge, a SnugPak jacket (I like the Sleeka). Or, an Arktis Mammoth shirt. Last layer on top, a good heavy canvas or cotton gabardine jacket (think British Para Smock type material, or Carhart's type cloth). Make sure it is roomy so the mid layers fit without binding.
For feet, good leather boots with Thorlo socks. If you can afford them, Danner or Matterhorn goretex lined and insulated military boots are very nice. The newer Canadian wet weather boot would also do. Goretex lined, insulated, and can be found pretty cheap at many surplus stores.
Gloves. Get a good set of silk liners so that you can keep that on when doing things that require manual dexterity. Then have a nice pair of 3M Thinsulate insulated leather or fabric gloves, similar say to snowmobile, winter motorcycle or skiing gloves.
And keep the head warm. Wow, it makes a difference. Mark's Work Warehouse is selling canvas "aviator" style caps with fold down ear flaps, and rabbit fur lining. They look toasty!
)
