Seconded on the importance of gear.
I'm someone who's fine being inside a house at 60F all day, but hates being out in the cold unless I'm moving around.
As the weather gets cooler, my goal turns toward keeping my core and extremities insulated and DRY . If you want to assess the disproportional perception of cold your body puts on extremities, go stand outside in the cold while wearing cotton socks & tennis shoes, and then swap those out for wool socks and insulated shoes/boots. Your perception of how cold it is will shift dramatically.
You should really be looking at keeping your body warm from your core & base-layer out and not a top-layer in. A good flannel and a warm vest will keep you feeling warmer than a great coat and a crappy t shirt. The idea is to trap as much heat against your skin first, and then shield from the elements second. And in trapping heat against your skin, your core should be top priority. Your body will move heat away from your extremities if your core isn't sufficiently warm.
I keep many pairs of wool socks, synthetic/wool t-shirts, synthetic underwear, and synthetic thermal underwear. You should ideally be changing at least your socks but also other base-layer clothes as you go throughout the day. Clothes, even slightly wet from sweat, do orders of magnitude worse at keeping you warm than dry ones (even if the only dry ones you have to change to are cotton). In acclimating to the cold, build a base layer first that you can still do your daily tasks in. I typically wear thermal underwear, jeans, and a flannel or sweater on a daily basis, with a quality coat when going outside. Your base layer should be good enough that after you start moving around, you can take off your coat and still be comfortable.
It's also important to keep moving. Sitting still all day isn't doing you any favors. You'll find that if you get your heart rate up regularly (jumping jacks are great for this), you'll feel less cold. Just don't forget that if you do too much activity while being too insulated, you'll actually feel colder when you stop moving thanks to the cooling evaporation factor.
Now, I will say that some people are just more naturally acclimated to the cold. I think we all knew "that guy" in HS/College who would wear shorts and sandals even when it's 20F outside. I don't know that there's a way to becoming "that guy" if you weren't born with an internal heat regulation that rivals the surface of the sun.