This is a bit of a long shot for Sports Medicine, but I play ice hockey in indoor rinks that are often as cold as the outside. After about 30 minutes, my toes start to freeze up. The worst is the thaw afterwards; it's beyond painful. With ice skates, I've always found it best to wear thin socks. My question is this - is there a material that is as thin as thin cotton socks, yet holds heat like wool socks?

You can try feet warmers
You can get them at K Mart in the sport/camping section
Or at a camping type store like Grangers or Cabelas
I never used them so I don't know how good they are
I think they are cheaper than this site.

Hand Warmers / Toe Warmers (4 Big Packs for $40)

Hey bud! Wow! Where the H E Double hockey sticks to you play puck? I would have hated to play in indoors as cold as the rink rat stuff. The only one I have ever seen like that was in beautiful serene Gilbert, MN... SH*T HOLE! Anyway, to get back to my point. KYBOSH the hand and foot warmers as you and I both know they will feel goofy and make your skate mighty cramped. I am thinking you problem might be on another front... how tight to you tie your skates? Try losing them up just a little, it will feel weird at first, but you will get used to it in about a week. It will help your circulation and keep those tootsies warmer. All socks are going to do inside your skate is wick away moisture. I skated barefoot from Bantam's on and never had a cold feet problem... I still do it on outdoor rinks in Minnesota without a problem. I really think you will probably find that loosening your skates will do the trick. If not, you might want to take up that wimpy sport of Basketball :-)

Yeah give it a shot. I bet it will help. The other option is going to be gong with a sock by WigWam who makes socks for skiing and hiking. THey wick away moisture and stay warm like wool. Those be your options my friend... I can't believe I am giving advice to a Hockey East guy who also stold KG from us... I think I am going to burn for this one.