Everything is relative to the particular situation. "Working hard" and ""exhaustion" might be "cause-and'effect" for one diver, but need not be for another. I run daily. "Workind hard" merely flips my body's metabolic switch into a higher heart rate that is, well, call it "normal 2," where it's hard to for me to freeze. In "normal 2," I'm very far from anything even remotely approaching "exhaustion." For me, it's entering a groove where my body is working at maximum efficiency--and I do not get cold in this mode when diving. When spearfishing, or when doing point-to-point dives with deliberate kickers, I don't get cold. When diving with 'stop-and-smell-the-roses' divers, often camera toting, I freeze. I'm not advocating one style of diving over the other. I'm merely suggesting that when kicking with deliberation I can wear fleece under my trilam drysuit. And when floating around and flaunting buoyancy control with 'stop-and-smell-the-roses' divers, I wear my full-cut trilam with 400g of Thinsulate plus a 200g Thinsulate vest because that's all that can keep me warm when the 'work' of a dive entails only staying still.
Now, if one is 'out of shape', such that finning or kicking with deliberation means something approaching "exhaustion," well, that's another issue. I would say that, following others, the best way to bury this issue, and bury it completely, is to go with a drysuit, particularly one that will allow you to wear very thick and warm underwear. Be careful here, though. "Drysuit" is not a simple solution. There are several different kinds. And if you are in 'great shape,' that means you will need even MORE insulation underneath your drysuit to keep you warm, if, that is, we are talking trilaminate drysuit. If you do go trilam, make sure your suit is cut full enough to accommodate the thick underwear you will need, especially if you are doing 'stop and smell the roses' kind of diving. But if you are carrying 25-50 pounds too much weight, well, then, you are in luck, because then you won't need such thick underwear and can therefore wear a trimmer fitting trilam suit. Otherwise, a neoprene drysuit is the warmest option, but it, too, has its caveats. In short, it's difficult to solve your problem by simply saying, in short, "drysuit." And your objection to my post suggests as well that it is difficult to solve your problem simply by saying work harder in your wetsuit, as I originally did.
Lots more info is needed, particularly regarding what kind of shape you are in.
I take issue with the idea of using exertion to keep yourself warm. If you're not properly insulated, heat will leave your body too fast to make a difference. It will just add exhaustion to your troubles while ensuring a steady flow of cold water over your body.
My girlfriend had real trouble staying warm until she tried wearing a thin, fleece-lined LavaCore-like underlayer under her wetsuit. That and appropriate boots and gloves made a big difference in comfort level.