How am I supposed to add moisturizer under makeup? I'm at my wits end...

Unless I apply my foundation to bone dry skin, it turns into a greasy, cakey mess within an hour. I've tried adding super light gel moisturizers, and even a few drops of a very watery toner was too much. I use a long lasting foundation and a good setting spray. I have combination skin that's leaning towards dehydrated. I genuinely don't know how I am supposed to moisturize in the mornings when I want to wear makeup especially now in winter when it's very cold and dry. Please help a girl out!