I've always looked for shivering as a sign I'm starting to get to cold (and stopping shivering being even worse). Recent experiences suggest this isn't very useful for me, as I tend to get to the being too cold stage without going through a shivering cycle. I don't know if this is related to doing exercise, as inevitably when I've had problems, it's been during an event (eg KIMM this weekend).
I've now come to recognize when I've got a problem, as my thought processes noticeably slow down, and my body stops working so well. This is a definite sign to put more on. Unfortunately, as in the Adrenalin Rush this year, I may already be wearing all the clothes I've got!