I'm in Texas so I am pretty much a wimp when it comes to cold weather and I won't run outside if it's in the 20s or colder. Fortunatley it hardly ever gets that cold here so I'm in luck! The key to staying warm is layers like Sarah said. You actually should feel cool or even cold when you first start out - if you feel warm or comfortable you are going to get too hot while running.
As for wheezing, I don't have that problem but I do notice when it's colder that breathing is more difficult. The air is usually a lot drier in the winter when it's cold so that could have as much or more to do with it than anything. The dry air could be really irritating to your lungs if you have any kind of health or breathing problems. You might also check with your doctor just to be on the safe side to make sure it's not something like exercise induced asthma but if you don't get it all the time, just when it's cold, chances are it's just your lungs getting used to the drier, colder air and you'll notice an improvement with some time.