We have done plenty of jumps during wintertime (low as minus 20 celsius) in Estonia.
Depends: If plane has a closed door and heating inside, you don't need much clothes. IMO most important is to wear warm gloves (leather, not woolen) and a buff around your neck. Some preferred woolen face mask, but for me it was OK without it.
But sitting in a plane without door is freaking cold. Wear warm ski-underwear + additional layer(s) of clothes under your jumpsuit and protect your fingers getting wind-chilled.
Some examples, how to suit up for winter-skydiving (old video):
http://www.youtube.com/watch?v=StLulLaFlq4