Your base layer is not about insulation, it’s actually about managing moisture levels. Even when it’s only a couple of degrees outside you can work up a sweat from walking. This is fine when you’re hot, but once you start to cool down, this dampness can cause you to become very cold, very quickly. Thin base layers are designed to wick away your sweat and keep things comfortable. Kids base layers aren’t common, but they don’t tend to suffer from the same sweating problems as adults, so they aren’t always essential.
The mid layer is designed for warmth. Usually made from fleece, it should be light and insulating. You do need to be able to easily remove it of course; you’d be surprised how easy it can be to overheat when walking, even when it’s only a couple of degrees outside. Make sure you have a snug fit; gaps will cause you to lose warmth. Children’s fleeces are easy to come by, and are better than simply covering your child in a restrictive coat. A quality fleece and outer-layer are so much more convenient than a single thick jacket.
The outer layer is designed to protect you from the elements. Whether it’s windy, rainy or snowy, a shell layer will make sure that you don’t lose all of the heat being insulated by your mid-layer, and will prevent clothes from getting wet. You want this layer to be quite light, as there’s a good chance you’ll be carrying it around when the weather isn’t too bad. There’s nothing more annoying than having to lug around a pile of heavy kids’ jackets when they’re too hot to be worn.