I have a little mare that just never grows much coat and she needs her blankets. When it gets down to 0 with below 0 windchills, I double blanket her with a system I like: I got a cheap, closed-front stable blanket from Schneiders, cut off the leg straps, and cut slits in the area where the leg straps were attached at the back of the blanket. I used this as a liner - on top of this I put on a med. weight turnout, and thread its leg straps through the slits I cut and then clip them to the dee rings on the turnout. This keeps everything in place beautifully, even if she rolls, and gives her about 440 grams total of toasty insulation. If it is really terribly cold and nasty, I add her neck cover which matches the turnout. So far, she has been nice and comfortable in this.
When the temps rise to the high 20s with windchills - I can replace the med. weight turnout with a turnout sheet and remove the neck cover. If temps plunge well below zero, then I put a fleece sheet under the liner and turnout blanket and add the neck cover.