If it is really cold you want to start the performance with warm hands (hand warmer, hot water bottle, enough layers – I have a snazzy wrap to wear while sitting around and it is amazing how many layers you can hide under a long dress if you need to).
Wristies are great, I keep a pair in all my harp cases so I’m never without them. They’re comfortable to wear while playing and don’t get in the way of your fingers. They also make a “heated” model with pockets to hold those disposable hand warmers. They would be useful for really cold situations:
The wool fingerless gloves mentioned above is a great idea, especially the ones that go up to the elbows. Lightweight silk undergarments (tops & bottoms) work well in keeping your body warm, as well as a scarf around your neck. If you can wear a slouchy beret, popular right now, that will keep you even warmer, and won’t get in the way of the harp.
Outfits in a wool jersey will be warm, and have enough give and drape to be comfortable while playing.
If you knit, there’s lots of patterns for free on the net. I’ve made two pair, one in black and the other light pink, and they really do help when the fingers get chilled.
I like to wear wool because it’s a good insulator, but breathes and wicks moisture away from your skin so you aren’t left feeling cold and clammy.