What I have observed on myself, with no claim of scientific accuracy, is that every time I go indoor immediately after a hard effort in the cold, I tend to sweat a lot. Then my clothes become soaked, and as soon as I'm back outdoor, I feel awfully cold. The strategy that works best for me is to take off all my clothes, well, almost all, as soon as I go somewhere indoor, and to put them back on only at the last moment before going back outdoor. This way my clothes stay dry, and I do not suffer as much from the cold.
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