Gear-wise, the cold got better for me when I got a nice 0 degree down sleeping bag. Learning to layer clothes and wearing less or no cotton is better in cold conditions. Travelers seem to like carhartt jackets, but I find them heavy. I layer shirts, wear a wind jacket, and then put a puffy down jacket over that. Helps to blend in more as well. Smart wool leggings or the off brand equivalent are good. Thick wool socks are warm as well as wick moisture from snow. Waterproof shoes or boots.
At the end of the day, wipe your skin off with a rag as the salts from sweating on your skin will make you colder. If you carry a stove, you can heat water to put in bottles and put them in the sleeping bag for extra heat. A tent helps block extra wind chill and possible moisture. Placing a tent behind or between structures to block wind is better. Getting as much off the ground as possible also helps, whether that is an inflatable travel bed and/or stacks of cardboard: anything helps.