I handle the cold and wet by first maintaining my sleeping bag, as you stated in a dry place. The dry sack; sweet roll is what I use from Salsa. It is more expensive but will allow you to maintain the dryness which also equates to warmth. It is a down bag to allow the warmth while a little wet, plus lighter. As far as myself while I'm on the bike I go with light layers of neoprene, wicking type material, plus the rain pants from Showers pass and the rain jacket from OR.
With the "to skin" clothing a strong wicker if something does get wet it should dissipate quicker and wick off me. If it is cold I count on my body heat to stay on-top of it. Like you said do not stop until you have cover. It allows you to appreciate the dryness better. I always am on watch for hypothermia, but I have never gotten close to that. The coldness comes quicker to me having lived in AZ now for a while. The heat is what I crave now. The hotter the better, so I will look forward to NM! So I have to get ready for it more having been out of it. I have cycled across some terribly cold areas and what has worked for myself hopefully can shed some light on it for others.