Allowing the skin oils to accumulate naturally is of benefit....
... which means no shaving or showering in the morning before a day out in the cold. You can do that in the afternoon, after you come in again. This is recommended practice in the Norwegian Army.
On top of your not-freshly-washed skin you can put various ointments and creams. The recommendation is to avoid any water based stuff (fat is good). But I must add that I never felt I needed any cream to keep frostbite away, and I have never used any. From what I've heard, any fat based cream will work.
My problem in the dry cold is cracking lips and fingertips (just right by the finger nails). I use lip balm and skin cream for that, as well as staying hydrated.