The modern fleece fabrics are much more compact than traditional materials, but they still provide all the protection you need against wind and chill.
You might also want to check out these products.

Authentic hooded sweatshirt
£19.13 + VAT
(£22.96 inc VAT)
Authentic jog pants
£21.38 + VAT
(£25.66 inc VAT)
Authentic sweatshirt jacket
£24.68 + VAT
(£29.62 inc VAT)
Authentic zipped hooded sweat
£23.82 + VAT
(£28.58 inc VAT)
Authentic ¼ zip sweatshirt
£23.63 + VAT
(£28.36 inc VAT)
Classic heavyweight ringspun t-shirt
£4.34 + VAT
(£5.21 inc VAT)
Classic cotton piqué polo
£10.43 + VAT
(£12.52 inc VAT)
Classic sweatshirt
£13.58 + VAT
(£16.30 inc VAT)
Classic polycotton polo
£9.99 + VAT
(£11.99 inc VAT)
Essential weather shell jacket
£37.49 + VAT
(£44.99 inc VAT)
Essential softshell jacket
£23.99 + VAT
(£28.79 inc VAT)
Full-zip outdoor fleece
£20.64 + VAT
(£24.77 inc VAT)