Can someone do a review on winter underwear... like silk undershirts or thermal pants. I don't own any currently because I live in a place with mild weather, but I am the type that gets cold easily so I am thinking about investing in some.

I've gotten bottoms from wintersilks.com. They carry petite sizes down to XS. They have several different weights, and low-rise styles that have a waist band without elastic for a smoother fit (see for example: http://www.wintersilks.com/viewproduct.aspx?BRANCH=1~9710~&ProductDisplayID=949). Even though they are silk, at least some styles are machine washable.