Uniqlo Heat Tech base layer. They have long sleeved crew necks that would work under the dress, and leggings if you want to go that route with boots.
Are you a 'cold' person? Because I'm always hot and I find the Heat Tech too warm unless it's a very cold day, under 10ºC or so, but some of my colder friends swear by it because it's so thin that it's not noticeable under other clothing.