If you are cold during/between or on the second dive, as has already been mentioned, get a drysuit.
If you are using a wetsuit, take it off, turn it inside out and give it the chance to dry between dives.
Whilst the wetsuit is drying get warm. Dry warm clothes.
Wear a baselayer under the drysuit - possibly for the second dive only, then you have a dry layer between you and the damp/cold wetsuit.
Ultimately a drysuit is a much better solution.
As has also been stated, get out of the wind, so a wind proof is sensible and practical. When we went to Iceland, we invested in large ski jackets that would fit OVER our drysuits. Even in a drysuit, you can chill between dives, the water on the outside of the drysuit evaporates, cooling you down. Its slightly less of an issue in a membrane because they dry so quickly, but even in a membrane, the wind on the outside of a dry drysuit still has the effect of cooling you down.
We bought the ski jackets at the end of the ski season - so they where clearance items.
Gareth