Whilst our winters are quite mild compared to yours, I recently had occasion to spend 10 hours outside in temps between -5 and -10 with a biting wind to boot. The only bit of me that ended up being cold was a V on my neck/chest as I had a suit jacket on, the kilt did what it said on the tin and kept me nethers toasty.
It was a 6yrd wool one BTW I think about 12/13oz.
My main problem in a kilt is being too hot!!!
Cheers Rhino