Talking about underwear I looked though my vintage patterns a bit to see what I can find. I like above from Stitchcraft November 1936 because it looks cosy and the lace stitch goes well with the cut. I think I might have a go at this myself.
Here a more robust design in Stitchcraft January 1936. It does say ‘a set for people who feel the cold’, but for those who are more cold-resistant the instructions also give advice on how to make a lighter version with thinner yarn. I guess if you make the lighter version with thin cashmere or alpaca it will be as warm or even warmer than the heavier version with sheep wool.
‘Warm without Thickness’ was published in Stitchcraft February 1935. It’s a very dainty piece. I like the simple lace pattern and the little bow at the front. I put scans of all three patterns up for you to have a go at if you like. Just click on the pictures or go via the Free Vintage Patterns gallery.