Going to Sweden, Denmark, Norway and exploring the Arctic Circle in winter was quite a bold decision, and I am sure I wouldn't be able to enjoy myself if I didn't pack wisely. I still had a couple of days, where even though I was bundled up and had layers of clothes on me, I was shivering and freezing. I learnt a lot of what works and keeps me warm, and what I should never bother taking with me on a vacation with extremely cold weather conditions.
I have created this little What To Take To A Very Cold Destination list for you, and hope it will be helpful. I wish I read something like this before we flew to Scandinavia!
I think I spent two hours trying to find heattech pants and tees in my size in the UNIQLO store. XS was simply sold out everywhere, and S was way too big on me. At the end I managed to find two XS tees, and had to buy a sample heattech leggings they give you to try in the fitting room! Yes, they were that good!
There are three types of Heattech: Normal, Extra Warm and Ultra Warm. I have tried Extra Warm, but nothing compares to soft, super warm Ultra Warm heattech. I have been wearing my heattech tees almost all my trip in January, and they were warmer and more comfortable to wear than any layered sweaters.
They are super cheap, so if you find Ultra Warm heattech in your size, grab it before it's gone. I even wore my heattech set in the Ice Hotel (read our review here!) to sleep on bed made of ice in sub-zero, and felt almost (I said almost) cozy and warm :)
My impression is that UNIQLO runs large, so take a size smaller if, you like me, like your clothes a little bit snug.