The Pediatrician Answers:
Infants and young children have a large portion of their surface area on their head and can lose significant amounts of heat there. Infants who are too warm often don't fuss, but just get sleepy and sweaty. Infants who are too cold will usually fuss until the problem is corrected. Cold hands and feet don't necessarily mean that the baby is cold -- just that the hands and feet may be cold.
Each infant or young child has their own preferences for the amount of clothing they want on; getting to know your baby's preferences is part of getting to know your baby.