Players do wear gloves although how well heat retaining an be debated
Plus the players are alot more healthy than your average,over weight, sedate office worker who over dashes from his house to his heated/air-condition car.
The players are moving around. I used to cross country ski race and would wear a long underwear top and bottom with a shear one-piece nylon suit over it. If it was REALLY cold we would put a sock over our private parts as that got chilly coasting down the hills!
Of course before and after the race we all had down coats and heavy pants and hats, gloves, etc. My mom took snowpants and added full zippers down the legs so they could be taken off and put on while still having the skis on my feet.