The safest, and most comfortable, way to dress in the outdoors in Montana, is in lightweight layers. This gives you the ability to add or remove layers in response to changing conditions, and lightweight layers are generally smaller and easier to pack.
Keep in mind that dressing for outdoor activities is much different than dressing for home or short outings to the store or office. When you are recreating outdoors your clothes should allow you to move freely and comfortably. You may sweat so your clothing needs to wick the moisture away from your body to keep you dry. You also have to be prepared for changing weather conditions.