My rules of thumb. Not yet edited up, but just as a data dump.
"Spinning in the grease" does not make warmer woolens. The old fisherman’s wives knew a lot about keeping sailors warm . They washed the wool so they could dye it, then they added a spinning oil, spun the yarn, knit the object, fulled the object, and then re-oiled the wool. It worked in the days of fishing the Banks in open boats, and it works today. The spinning oil does affect how tightly the yarn can be spun, and that affects the ultimate weatherproofness of the knit object. Oiled wool does stay drier, but it only takes a drop.
As a reference look at some 5-ply gansey yarn. Firmly spun yarns are required for knit items that much have a good warmth to weight ratio. Tightly spun yarns are required for knit items that must shed water or be windproof. (Spinning on wool wheel (spindle) will allow tigher spinning than using a flier.) Very tightly spun plies, loosely plied together (such as Lion Brand Fisherman’s Wool) when very tightly knit also produces a weatherproof fabric. Early in your spinning career, it is worth knitting swatches of these yarns, and thinking about the fabrics produced. Tightness of knitting is critical for weatherproofness and warmth.
Think of a knitting needle as a lever for moving yarn. (Or, even a lever for packing yarn together to form a tighter fabric.) Hand held needles provide a mechanical advantage of 1:3. With a knitting sheath you have a mechanical advantage of 1:30 or 1:50. This additional leverage allows knitting tighter. Hand held needles can not apply enough force on the yarn to pack it tight enough to produce weatherproof garments. My needles for outdoor wear are #1 with Aran weight for downhill ski wear and #1 with worsted weight for general cold weather wear. I knit 10 wpi yarns at 5 spi. Those yarns are packed against each other in the fabric.
Finer wools ( merino, Shetland) are better for dry cold. Coarser wools (Cotswold) are better for shedding water. Woolen spun is better for dry cold, worsted spun is better for blocking wind and water.
Some decorative stitches such as Lizard Lattice dramatically improve the warmth of the fabric. Fair Isle, twining, and weaving dramatically increase the warmth of a fabric. For foul weather wear, woolens need to be completely washed and fulled after knitting. This process will take essentially all of the spinning oil off of the wool! It can be easily replaced by adding a drop of baby oil or a drop of lanolin to the final rinse water. This works as well as spinning in the grease, and is less likely to smell or attract moths, and it allows washing the woolens at the end of the trip or season, or whenever they need to be washed. I repeat myself because this is a common misconception.
In cold damp weather, very tightly knit woolens will become damp on their outer surface as moisture from the body passes through the fabric and condenses on the cold outer surface of the fabric. This can be reduced by dying the wool blue so that the outer surface of the garment absorbs some sunlight.. The sunlight keeps the surface of the wool warmer so that less moisture condenses. Using a naturally dark colored wool is better than a lighter colored wool, but not as good as navy blue. This is a tiny effect, but it works surprisingly well. Note the blue wool will increase surface condensation at night, so it is worth wearing an outer garment (oil skin) at night. If worn under foul weather gear (oil skins) then cables and bobbles allow ventilation between the oil skin and the gansey which tends to keep the outer surface of the gansey drier.
Loose knit wear tends to flap around and pump air through the fabric, dramatically reducing the warmth of the garment. Snuggly fitting knit wear is warmer.
Cold feet one morning in the days before I knit.