Whatever first layer 'sock' you choose, make sure that it is either 100% synthetic or wool, or is a wool/synthetic blend. No cotton. Cotton will hold moisture against the skin and thus you will either 1) feel cold, or 2) not feel the warmth affored by the wearing no cotton.

The reason for this is: moisture cannot stay in the wool or synthetic fibers- it will seek egress, and wick to the outer layer regardless of composition.