The easiest way to keep warm is to keep cold air or water away. Both cold air and cold water make us lose heat by conduction.
Closely woven clothing is heavy, and as we know air is a good insulator, it makes sense to use clothes that trap air that is clothes with fluffy fibres or a coarse weave.
Two layers of thin clothes keep heat in better than a single layer of thicker material because they trap a layer of air between them.