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To keep warm in winter, Sam always wears thermal underwear.

Could I replace "thermal underwear" with "warm-keeping/cold-proof underwear?" If not, what are the alternatives? Thanks.
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No, "thermal" applies to underwear mostly.

You can have a warm scarf, a warm coat, warm mittens, or even plain old warm clothes.

Although I just went to L.L. Bean's site, and they do have thermal pants and a thermal jacket. But realize that this is "high-performace" outdoor activewear. Someone who just has a warm coat does not have on a thermal coat.
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Hi Angliholic,

You could say 'warm underwear', but 'thermal underwear' is much more common.

I'm afraid 'warm-keeping' and 'cold-proof' underwear aren't used in English.

Best wishes,

Seonaid
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SeonaidHi Angliholic,

You could say 'warm underwear', but 'thermal underwear' is much more common.

I'm afraid 'warm-keeping' and 'cold-proof' underwear aren't used in English.

Best wishes,

Seonaid

Thanks, Seonaid.

Just to make sure, are the following right and idiomatic?

thermal clothing/clothes/scarf/overcoat
I have heard of weather-proof garments but never cold-proof garments.
 BarbaraPA's reply was promoted to an answer.
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Grammar GeekNo, "thermal" applies to underwear mostly.

You can have a warm scarf, a warm coat, warm mittens, or even plain old warm clothes.

Although I just went to L.L. Bean's site, and they do have thermal pants and a thermal jacket. But realize that this is "high-performace" outdoor activewear. Someone who just has a warm coat does not have on a thermal coat.

Thanks, GG.

Do you imply that there are marginal differences in meanings between warm and thermal?

By the way, what do you mean by "on" I bolded in your post?