Cotton is the best of the cheaper materials. I have skied and walked a lot with cotton under layers.
The best is silk, but it is expensive and difficult to get these days.
Modern materials are excellent for one day, then the moisture wicking properties diminish. Plus you will start smelling like an incontinent old goat.
Wool (specially Merino wool) is excellent too, but I find it hugely uncomfortable against my sensitive, tender skin. And is difficult to find in good quality, and more expensive.
My layering if I do physical work: Cotton under, cotton over that, snow protection.
I add a layer of wool if I do not do anything physical.
All layers loose fit.
Once the cotton t-shirt gets wet, I change it and let the first one dry, on top of backpack.
Same with socks. Change the innermost humid sock.