On the subject of extreme cold, and how they did it in the old days, a quick tour of human history... Besides firewood and "stoves" - your whole house with a firepit in the middle & upper windows venting the fumes - a bit had to do with these little buddies
While dogs are a man's best friend, another good buddy early on was the Mouflon - https://en.wikipedia.org/wiki/Mouflon - which we apparently bred into domesticated sheep at least 13,000 years ago. Dogs were supposedly domesticated earlier.
Sheep's wool has been used ever since to make very warm clothing in the contiguous Europe/Asia/Africa regions. I don't know how far sheep were distributed, and I know the Native Americans in all continents had a different set of animals providing fleece.
But it's worth looking at what makes wool so useful: https://weatherwool.com/pages/the-science-of-wool The fibers shed liquid water with shingle-like "scales", while water vapor sneaks between the scales to become "adsorbed" by a fractal-like organization of proteins inside.
If I'm reading that right, the idea is that water vapor - a gas with molecules moving fast - gets "captured" by these proteins, effectively absorbing the latent heat of vaporization and incorporating it into the solid structure of the proteins. Thus heating the fiber, and you.
It's not magic, the heat came from your body evaporating sweat or moisture; but capturing the heat while holding the water inside the fiber is a neat trick avoiding the thermal bridge that liquid water creates when it saturates a fabric.
Those scales on the outside also cause the fibers to interlock and stick to one another; Felted wool reportedly was the first use, discovered when folks packed wool fleece into their (leather?) sandals to reduce blistering. https://en.wikipedia.org/wiki/Felt#History
Moisture + agitation/rubbing creates a nice solid fabric. Eventually folks discovered spinning it into strands, which wool does quite well, and using it to weave or make garments with a laborious process called "Nalbinding" https://en.wikipedia.org/wiki/N%C3%A5lebinding
I was quite surprised to learn that Knitting, the process of using needles or pegs to organize a singular strand of yarn into interlocked slipped knots that cascade on one another, wasn't even known in the time of Ancient Rome.
Apparently it took the rise of Islam, and some experimentation in Northern Africa, to develop knitting. https://en.wikipedia.org/wiki/History_of_knitting I can imagine perhaps agricultural constraints on growing fiber in the wake of the Ancient Romans' over-use of land could have played a role.
Knitting to produce a form-fitting product should require less fiber than weaving to produce togas, or big blankets. That's my theory for why it was developed. Some of the best sheep for form-fitting wear also came from Africa.
https://en.wikipedia.org/wiki/Merino#Origin The Merino sheep gave Spain a monopoly on ultra-fine wool for centuries until they were eventually smuggled out. The English were also a big breeder of sheep, and brought their Longwools over as they colonied the USA. https://www.jstor.org/stable/pdf/44216164.pdf
A parallel story shows up with the Camelids in South America; http://www.westwightalpacas.co.uk/about/origins The alpaca fiber is similar to sheep's wool, but with a couple notable differences.
The inside of some fibers include hollow tubes, called the "medulla". Fine sheep's wool is devoid of this because larger medulla tends to associate with thicker, and scratchier, fibers. But alpaca has a large medulla while still being fine & soft.
Alpaca also has shorter scales, but felts similar to sheep's wool since it does still have them. This felting quality makes wool & alpaca difficult to use with modern washing machines. Handwashing or dry-cleaning is the norm for fine garments.
Not to be outdone entirely by synthetic oil-based fabrics and plant fibers, the wool industry figured out a way to avoid shrinkage from felting. The end results, though, are a bit of a pollution catastrophe. https://medium.com/@woollywishes/what-s-wrong-with-washable-wool-815bc8135421
"Greener" or at least more sustainable alternatives are out there with varying measures of quality. IMO, nothing beats having an untreated wool garment that you care for by hand, though. https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6369147/
All the yarn stores & knitting enthusiasts I know use Eucalan, a no-rinse soap to wash their woolens by hand. I do it with my hand-knit socks and hang-dry them over the oil-filled radiator or near the dehumidifier. https://www.eucalan.com/home