How to make things that are actually warm?

Hello, I am still pretty new to crochet and was getting ready to make winter accessories... but I don't really understand how to make them actually warm! I knit a scarf and wrist warmers last year using acrylics and even if I put them on I don't feel an ounce of warmth. I figured wool might do the trick so I coughed up some money for 100% wool and made some slippers (Pattern, but again, I don't feel any warmth wearing them... I live in a humid and windy area, so maybe that makes them even less efficient?

Is there some trick to making stuff that actually keeps you warm, like the type of stitch or some specifications on wool? I find a lot of scarf patterns use dcs, for example, but doesn't that mean the wind will just go through them?