It's sounds like your comfort level may be related to the things you wear underneath.
I recently bought a predator jacket because I wanted a more flexible oversized jacket to wear on really cold days.
I have the Frabill I float suit and the jacket gets real clammy when it's warm or I'm working hard. It's also stiff on the sleeves and close fitting so it does not allow for a lot of layering.
Your first layer should be a close fitting synthetic shirt which will allow sweat to "wick" aka spread out on the fabric so it can dry quickly.
Second layer should be a pile layer, like a polartec light fleece jacket or a Merino wool thin sweater. Then your jacket on top of those layers.
If you are working up a sweat lose the jacket for a little bit so you can cool down and dry out a bit. Then when you are feeling chilly, put the jacket back on to block the wind and trap body heat.
This layering strategy is used by mountaineers and ice climbers. They layer this way because it works.
Other people will say.. "hey I'm fine with a cotton t-shirt and cotton hoodie" and that's fine for them when they just retreat to their SUV to warm up. Mountaineers often refer to cotton as "death cloth" this is due to the fact that cotton will absorb a ton of sweat and it will dry very slowly giving you a chill when it's cold or windy.
So you are better off upgrading you first few layers instead of buying a new shell which will leave you with the same problem if you are currently layering with cotton..
High quality base layers can be purchased at REI, EMS, LL Bean. Look at the fabric content in the package, if there is any cotton, don't buy it. If you do this, you can probably find acceptable pieces at Dicks, Bass Pro, or other stores that sell ski gear
