I've got to go with OBG on this one. During warmer weather cotton is a viable option; however in cold, and potential wet environments, cotton kills.
We've rescued many individuals during the winter wearing cotton clothing, most survived with various stages of hypothermia and/or frost bite . . . others didn't.
Having spent a lot of winter time in the mountains in my younger years, and on a Search & Rescue team, I agree with MtnRescue.
You might be fine with cotton clothing 50 times, but the 1 time you are not, may be too late to wish you had on wool.
One of the effects of hypothermia is a "loss" of the thought process. When hypothermia hits you, you may not even know it, until it's too late to do anything to warm yourself.