So my instructor told us that we can consider diving akin to skiing....What you wear for skiing is fine under your wet suit (No cotton, wool is good). 

I assumed that given a wet suit is wet that thermals are not really useful. Is it worthwhile to wear thermals under a wet suit for cold water diving? Do I go about sourcing thermals for diving just as I would for skiing...ie...Go to REI and buy some good ones?

Only if your wetsuit is loose will it really help much and that is really by reducing water exchange.  I could never tell any difference the few times I tried it.  If you can get anything heavier than light polypro under it then it's too loose to start with.

If you need more insulation get a slightly larger shorty to pull over it to insulate your core.  And remember that sizing with wetsuits is key, they're supposed to be a little snug so that you're not constantly pushing cold water inside the suit.

But really if you're considering this, just bite the bullet and get a drysuit.  You'll have a lot more mobility without having to fight the suit all the time.

If you need to be warmer, you need a thicker wetsuit, not stuff to wear underneath.  If you're having flushing too often with a back-zip, a chest-zip could help.  They are a giant pain in the ass to get into though.

Thermals go under a drysuit, not a wetsuit!

The only type of extra layers that I've heard of people wearing under a wetsuit are Lavacore, Sharkskin, or the like.

Wearing wool or polypro layers under a wetsuit would be a soggy mess.

Way back in the 70's when I learned to dive, me and my dive buddies would wear wool longjohns under our wetsuits, but I don't think they were all that effective (but when you're a teen-ager, you're bulletproof and immortal).

When I dive cold water nowadays, it's in a dry or semi-dry suit.

I have never heard of layering up under a wet suit. I don't even think that would be wise to even attempt. You need to look at a thicker wet suit as suggested or look into going dry. As far as thick wet suits go, I highly suggest the Hollis Neotek wet suit. I would avoid any of the farmer john style wet suits as they just allow too much water exchange IMO.

Underarmor cold gear is great under a wetsuit. Heat gear helps too, especially with donning and doffing.

They dry out faster than a wetsuit. Even on bonaire,  i can peel the wetsuit, leave the underarmor on and it's dry 20 minutes later when we start gearing back up for another site. Not too hot,  and that wetsuit slides right back on.