If you are issued any sort of rain gear for that particular night in the cold, you'll find that it traps heat pretty well. Adding that rain layer on the outside will help keep the wind out and also trap heat.
If you are pulling guard duty, wearing a track suit under your cammies also helps. Just make sure it's not visible.
At boot camp however, there may really be no true winning combination as the instructors will probably check that you haven't done stuff to make you "too comfortable." That's when you'll just have to tough it out. Light, periodic exercise (even as little as ten pushups every five or ten minutes) can help keep you warm.