I know how you feel! I'm another big fan of layering (I usually wear about four layers and two pairs of socks) but I still feel the cold.
Exercise, like Willows says, is a brilliant way to deal with it though. I'm really out of shape so I get very warm very easily, so a bit of jogging (it's actually nice in the winter, you get nicely warm instead of too hot like the summer!) or hula-hooping gets me toasty quickly - and it's cheaper than having the heating on.