You need to buy the right clothes for running, clothes that wick moisture away from the skin. I recommend not scrimping on this clothes either, I tried buying some inexpensive (cheap) wicking clothes and they irratated my skin. Since then I have stuck with the name brands and I have not had any bad experiences.
I am most comfortable in clothes that are a little loose fitting, the Nike and Under Armour sweat bands are a little heavier than the cheaper ones and hold more moisture.
Under Armour for years has told us that "Cotton is the enemy." Under Armour is now releasing a line of hybrid - Cotton clothes that wick moisture away from the skin and have the feel of cotton. I am curious to see some of these clothes and possibly give them a try, I love cotton but not for running.
If you want to run outside in this cold weather, dress in layers, so that after you warm up you can take a layer or two off. If you go to a sporting goods store such as Dick's there are all kinds of winter running gear to keep you warm. As for me when it is cold outside I move into the treadmill.
Any recommendations for running attire?