My usual routine for multi-pitch routes is that I keep a BD BeeBee pack in my big pack and wear it while leading. On the lead I wear my normal dress (synthetic tee shirt, long sleeve mid weight zipneck, polartec fleece top and soft shell). I place a pair of warmer gloves inside my jacket around my sides (the harness over the jacket keeps them from falling out and being in there keep them warm). In the pack I stuff my OR belay jacket (and sometimes a primaloft vest if it is really cold), first aid kit, headlamp, extra pick and wrench, and water or thermos. When I get to the belay, I put on the jacket and swap out the gloves - putting the thinner pair I wore inside my jacket. It keeps them warm even though they are probably wet and allows me to put them back on for the next pitch. If it is wicked cold, I probably bring a bigger parka and use a bigger pack.