I think I'm literally allergic to the cold, so I know the need to be warm (yet stylish!). My best tips for this are:
-Dress in layers: A V-neck top under a V-neck sweater can keep you warm, but because of the neckline I never feel like I'm losing my femininity to a bulky cover-all sweater. Layers work on the bottom too- Heavy tights or thin leggings under a sweater dress (or even dress shorts) can add warmth without being too bulky.
-Choose heavier materials, but form-fitting cuts: A tweed blazer can keep the chill away, and if it's darted/tailored to your figure it won't feel like you're trapped in a big tweed box. Again, same with bottoms: if you're comfortable in a mini or an A-line skirt, go with a heavy cotton; you'll stay toasty, but keep cute at the same time.
-Convert outerwear to indoor attire: A shorter, lined trench coat belted at the waist adds uber warmth if you use it in place of an outfit's completer piece (blazer, cardigan, etc.), and doing this also gives a fun alternative to the normal completer pieces. There are some vests out there lined with faux shearling that can be converted to indoor wear, too.
-Embrace your accessories: Hats, scarves, gloves - these should be opportunities in your wardrobe for some fun! A sexy fedora, faux leather driving gloves, and a patterned fashion scarf (or snood: kind of a scarf that just circles around on itself) will do the job of keeping you warm just as well as a knit cap, mittens, and a wool scarf.
I hope this helps! Good luck!