Wet cold and wind are the main factors for feeling miserable.
Air temperature in dry conditions can be far below 0 C / 32 F with no problems at all and warm feet, but wet cold around 0 C / 32 F is really bad. Wet salted roads are near impossible, they can be around -23 C, nearly intolerable. I can run for more than an hour in wet cold around 0 C/32F, in fact, that is one of the main conditions I run in during Winter due to the climate in Aachen / West Germany, but it is not very comfortable, I much prefer lower temperatures and dry conditions. I can not run on wet salted roads for much longer than 1 or 2 minutes without getting fully numb feet. I must avoid the salt stuff. I always look forward to dry days, regardless of temperature.
So, don't feel bad about it, your feet should not get fully numb with wet cold, but they will feel a bit funny, and may stay a bit sensitive after longer runs. This will get better with seasonal adjustment - at the end of the last Winter Challenge, I did not feel the wet cold nearly as much as I do now going into the next winter - but yes, dry cold is a pleasure compared to wet cold.
Some of us have experimented with putting fat on the feet, for me, it does not make any difference. I think that learning to go slow with good form really helps, since it minimizes abrasion and injury potential, and helps you to relax, which will help the feet to get warm. Ah yes, and make sure you keep the head and core warm - always wear a cap or buff or similar. That really helps to keep the feet warm.
Good luck in adjusting to the cold season!