In the winter if you're exercising then you're gonna get damp or wet, it's pretty much unavoidable since sweat isnt evaporating. Next best thing is to use products that retain heat when wet... i opt for primaloft, fleece pile, and wool.. these are my most used. My primaloft is 10 years old and hasn't lost any performance ( HH Odin ). Stick with high quality piled fleece, cheap stuff compresses fast.I have some down stuff but it rarely gets used because of its need to always be dry. If you wanna stay away from synthetics then a system for you could be: merino wool base layer, lofty wool sweater, down jacket or vest, waxed canvas shell... in this set up at least the wool retains heat if you get wet. Best bang for your buck with wool will always be an army surplus store, plus it's reusing so ur being environmentally mindful. Now with all that said, don't overlook insulated bib pants ( ski pants is common name). I wouldn't even consider down for this since there's a much higher likelihood of getting wet. Get bibs that have venting if possible (crotch zippers), really helps with overheating if you go inside (shopping for example). Wearing Bibs can massively reduce the amount of insulation needed in your jacket system. Then there is always the insulated coveralls... Best advantage is that they are the easiest way to stay warm with the least amount of time putting on and taking off. Lastly make sure you have warm footwear. I won't get into this as it will double my post length but many of the aforementioned applies. All based on 40 years of living on the bald ass northern praries (+40c to -40c). Hope this helps!