Your inner layer should be made from synthetic material for maximum comfort. It should be soft and designed to wick moisture away from your skin. Never wear cotton clothing under your waders! Cotton retains moisture and has very little insulation value when damp. Nylon, acrylic and polyester do not retain as much moisture as cotton or silk. Wool is the only natural fiber that will keep you as warm as synthetics. However wool is more expensive and often less durable. Dressing with layers of Synthetic material can further customize the wicking of moisture away from your body.
Pay special attention to the layers that cover your legs and feet. These extremities are the ones that will be immersed in cold water. When water temperatures are below 50-degrees double layering is recommended. Water temperatures below 40-degrees demand heavier double-layering. Two layers of fleece or even three layers are recommended when the water is in the 30's. Pay special attention to your socks. Water runs down hill and some of your body perspiration will collect at your feet. This happens much less with breathable waders, but is still a factor, especially if you are hiking between pools. There is no way for wader feet to breath inside your wading shoes. Wader feet are still made from insulating, but non-breathable neoprene. Bootfoot breathable waders will keep you the warmest. Thick wool/nylon blend socks that have a knitted loop pile on the inside which gives them the capacity to retain a lot of loft, even with the squeezing pressure of your waders around them. They act as a reservoir for migrant perspiration but help keep it away from your skin. Remember, all socks are made from knitted yarns which tend to wash-out as you launder them, thereby loosing loft and insulating qualities. Replace them often for maximum comfort.
All of your favorite fly fishing apparel companies carries products that are made to keep you warm and comfortable during winter fishing. Check to see what materials these products are made from, and select what you want accordingly.