Yes are warm but not so much to protect you in very cold days; like other type of jackets need padding to increase the protection.
For cold weather, insulation is best based on layers. In simplest terms you have a base layer, which is against your skin , a mid layer which adds insulation and an outer layer which is the layer that protects against the elements.
The leather jacket is the outer layer. You need additional layers beneath it to add insulation and warmth. The idea is that an insulation layer traps warm air around you. think down or wool or fleece.
So a thicker leather will be warmer than a thinner leathers.
If a leather jacket has a lining, it will wear warmer than an unlined jacket. A wool lining will wear warmer than a cotton lining. A leather jacket with a layer of insulation will be warmer still and so on.
But in cold weather you need to wear layers beneath the leather jacket and it should have a higher level of insulation in the lining.
Unlined leather jacket
Quilted insulation (synthetic or down)
Shearling lining - thin
Shearling lined - thicker