Running

I want to run to work more but I work outside London so have a 1Okm run to the station followed by a 4O minute train journey during which I get freezing cold. Does anyone have any advice on what layer I can take that's light but will keep me warm on the train? I have lots of lightweight breathable things meant for use while you're actually doing the running/cycling/whatever but I'm not sure if that kind of thing is going to be any use.

What about something like this in your pocket, Bendix?

http://www.camping-online.co.uk/backpacking-equipment/backpacking-accessories/polar-shield-emergency-blanket.html

Might look a bit goofy on the train tho.