Whether it is wool or polyester, that first layer is going to (hopefully) move moisture out and away from your skin and keep a thin layer of warm air captive and prevent cold air from absorbing your body heat. More insulation on top of that keeps the cold air farther away, slowing the process of losing body heat– dead air space that slows air movement and heat transfer.
Thin insulating jackets like the Thermawrap are great, handy garments, the the insulating layer is really quite thin. You do get two fabric shells along with the insulation, cutting air circulation. They also hinder movement of moisture– not completely, but they do make things more humid.
These thin layers are very light and compress well, so they have a lot of appeal to hikers, but a 10oz Thermawrap jacket (not parka) has nowhere near the insulating power of a couple inches of down or something like a BPL Cocoon with .625" loft. IMHO, the Thermawrap jacket (or a down equivalent) doesn't do much more than a 200w fleece. Add a windshirt to a 200w fleece and you have pretty much the same garment, and probably better moisture management and more utility in wearing options.
But fleece is bulky and heavier, so we go for loftier, more expensive stuff like polyester fiber fills or down. I use polyester fills because I hike in wet conditions. Premium down can't be beat for pure lightweight insulating power. Given the same shell weights, it is just a process of how much loft you want over the weight you want to dedicate to insulation — and your wallet.
My guess is that if you are sensitive to cold, it may take a higher loft down jacket to keep you comfortable around camp. Adding layers top and bottom and using a hat, gloves and warm socks will aid the process a lot. In a prefect world, you want to be wearing all your hiking wardrobe– and comfortable at the coldest temperature you have planned for.
IMHO, a high-loft vest gives a lot of insulation and *psychological* warmth, with lest bulk, cost, and weight. You can still wear your base layer and windshirt under/over the vest and even add your rain gear on top if you are still cold. Add gloves and a beanie and you should be toasty.
Or just get in your sleeping bag. The maddening part of having warm camp ("belay") clothing is that you don't need it at all under way, with a thick pack insulating your back and your muscles producing all kinds of good heat walking uphill. A base layer and some basic wind protection is more than enough from me once I get moving, so hauling a big bulky jacket means adding 50% to my clothing weight for a tiny bit of time in camp before I jump in a full body jacket known as a sleeping bag.
I'm going to test using a half bag with an insulating jacket this summer. I recently got a Wild Things Half Bag which I plan to use with an MEC Northern Lite polyfill jacket. The premise is to justify the weight of an insulated jacket by making it part of my sleep system (29oz bag plus 19oz jacket). The rest of my wardrobe would be silkweight base top and bottom, a windshirt, and possibly a mid-weight top like a Power Stretch long sleeve zip tee.
All this dance is to end up with multiple use insulation, which is the heaviest part of my kit, and potentially life-saving gear that must be included in one form or another.