If you're in search of an undershirt to keep you warm, and open to wearing a wool alternative that is less expensive, undershirts made with acrylic fibers/yarn would be something to consider.
They are thin, incredibly warm, breath well, and as a bonus, they are not itchy like wool.
The most popular brand carrying this type of undershirt is Uniqlo -- the Heattech line.
The other is 32 Degrees.
Heattech is available in short sleeve and long sleeve. They also offer a long-john bottom made from the same material.
My wife and I wore Heattech and 32 Degrees when we visited Svalbard to visit the Global Seed Vault.
The only downside is that it's a synthetic material, so it holds odor moreso than other fabrics.