A thermal layer is a base layer used specifically for warmth, while also wicking away moisture. A good thermal layer is generally going to be synthetic (i.e. polyester) or natural (i.e. wool) and shouldn't add any significant bulk to your clothing, cotton should be avoided as it does not retain heat very well and loses nearly all insulative properties when wet. One of the most common types are the "Long-Johns" or "Long-Underwear" which are available at most department stores and are inexpensive. There are also more advanced types of thermals available from outfitters that provide even more warmth for even less bulk, such as silk and polypropylene, at a higher price tag.