If they wear little lightweight waterproof booties then they usually aren't so quick to try getting them off. Here are the ones I bought my girls for when we get up to Alaska. I also got them little fleece booties to wear inside of these on really cold days.
http://www.jbpet.com/index.php?keywo...=9&but_go.y=12
Of course there is always the more expensive boots.
http://www.jbpet.com/index.php?keywo...=4&but_go.y=11