Liam gave a good short answer. Here's the long answer:
Keeping your feet warm has relatively little to do with your socks. It's all about circulation. Once your body starts to get cold, it will sacrifice circulation to your extremeties to keep your core warm. This is the reason for the old cliche "feet are cold? put on a hat." If your body is working overtime to keep your brain and lungs heated, your hands and feet will be the first to know.
Second, once you've made sure the rest of your clothing is up to snuff and you're sure your body is actually sending warm blood to your feet, big socks or poorly fitted boots that are buckled down too tight can restrict blood flow making your feet cold. In a properly fitted boot, thin socks are warmer than thick ones.
Third, your feet can actually sweat a lot. Once wet feet get cold, it feels a lot colder. Breathable socks with wicking properties work best. In this age of high-tech eveything, wool is still hard to beat. Many find spraying Anti-persipirant on their feet helps, too.
Fourth, thick socks compromise the performance of the boots. If your boots are loose enough to fit a thick sock without cutting off circulation and being uncomfortable, then your boots are too big and you're working too hard to control your skis. Neoprene, being both quite thick and one of the least breathable materials around, is a terrible choice for ski socks. Thin wool socks are the consensus choice.
Fifth, putting your feet in a hard plastic shell without a lot of insulation in the middle of winter can be cold. There reaches a point where your feet will get cold, period. Everyone has their own threshold, but if you regularly ski when it's just plain cold out - wherever the point of "just plain cold" is for you - battery powered electric boot heaters are a good option. Women, in general are "just plain cold" at higher temps than men. For me, around 10F things get cold and at -5F I'm not going to able to ski for very long without heading in for a thaw and some coffee. Those temps aren't that common here, but they are routine in many places. My wife's threshold is high enough that we will put heaters into her boots soon.
Lastly, there is something called Raynauld's Syndrome where one's body reacts abnormally to cold - it sort of overreacts. If your feel you are overly senstive - you're cold when everyone else is peeling off layers - look into some of the strategies for handling Raynauld's.
My wife gets cold easily. The biggest thing that's helped is a helmet. They are much warmer than hats. Next up is a big puffy down jacket. I would be insanely hot skiing in something like that, but she loves it, even on quite mild days. She's in big, loose, sloppy beginner-intermediate boots and ready to move up to something more advanced, which will be much more snug. As I said, we'll put heaters in them. Many people balk at the expense of boot heaters, but what's another $150 over the 5 years they're going to last?