Honestly, I hate shemaghs... I know people love em but they are clumsy and bad at heat retention...
Wool/fleece hat. Fleece neck gaiter, and you will be warm as a bug in a rug. $20 total. You do not need any more protection from the cold / BB's, rain you should protect against with a coat's hood or boonie.
EDIT: In my opinion, shemaghs are only good at protecting your neck from the sun and preventing chaffing from armor carriers and chest rigs.
Ár skal rísa, sá er annars vill
fé eða fjör hafa. Sjaldan liggjandi úlfur
lær um getur né sofandi maður sigur.