Encumbrance is a balancing mechanic that prevents players from only wearing the warmest clothing, as the warmest clothing is often also the heaviest. Remember that clothing being worn doesn't weigh as much as clothing in the inventory (to account for "apparent" weight). Try choosing clothing that weighs less, or has a better warmth-to-weight ratio, or wear the minimal amount of clothing necessary to not be freezing.

If you find that your clothing weighs too much, then you can also try playing on a harder difficulty, where you will find less clothing.