Whoop, many places will rent you all and anything you need right there at the resort. This is probably the best way to go if you aren't sure you'll enjoy and want to keep doing it and you can be sure to get the sizes that fit.
For what its worth, I prefer wearing thermals under sweats and a long sleeve t-shirt when skiing. If the weather is nice, you're out in the sun and are actually moving around enough to keep warm. The main goal is to keep dry, because if you get wet, you'll be miserable.