Hypothermia can sneak up on a person. Unless you're paying attention, you usually won't notice until you're extremely cold. Hypothermia can slow your reaction times and cause severe lapses in judgement, so be very careful out there! It's best to avoid it altogether, but if it happens, don't trust yourself to make good decisions.
As far as what to wear: I'm kind of a gearhead, so I like to wear fancy softshell clothing. It's great stuff because it breathes well and lets out moisture but still blocks wind and (mostly) blocks rain. If you're into that sort of thing, Pearl Izumi and Castelli both make some great gear. If you're on a bit of a budget, I'd lean toward the tried and true wool. Avoid cotton like the plague -- when it gets wet, cotton will make you extremely cold.
We lose a lot of heat through our heads, so in the cold months it's important to have a hat on under your helmet. I have a thin wool hat that keeps my head warm and fits nicely under my helmet. Be sure to wear a warm layer and a wind blocking layer. Wearing a wool sweater and a windproof jacket over the top will often be enough.
Gloves can also be very important -- when I'm riding long distances in the winter months, I find gloves help me keep my fingers nimble. Making sure your fingers are warm enough to work well can be a serious safety concern when it comes to braking.
Most of all, be aware of how you feel. If you feel cold and then later your hands are stiff but you don't feel cold any more, that's a warning sign.
As far as warming up goes, you did quite well. I would add a warm beverage to the mix -- hot tea, hot chocolate, or whatever you prefer -- as it helps warm you from within.
