The cold here in Scotland, and I have camped in some of the coldest parts in the dead of winter, comes more from wind and rain than anything else.

I have always found that as long as you keep your hands, head and feet warm you need not worry so much about wearing any kind of 'unmentionables.'
However, if you feel you must then thick cotton jockey shorts always work well.
I wear them for dancing and fencing to make sure no-one gets offended if the kilt swirls and they are rather toasty.