Keeping warm involves stopping the transfer of heat from one object to another. This can be done by insulating the object. Trapping air in layers is a very effective way of insulating an object. Air is trapped between the layers of clothes and reduces the amount of heat energy that is lost. The thicker the layers and the more layers of clothing, the better the insulation.
This was very important for Dr Katja Riedel when she was in Antarctica as temperatures varied from -70ºC to -15ºC.