You can get four-legged sweat suits, then put an insulated jacket on them with a hood and add boots to that and they'll stay pretty warm if they can still move!
That's what we do. The trick is to keep moving. If you're like me, you're probably freezing and wanting to go in, but they need the exercise. It's important. Just keep on walking fast and you'll both toughen up in no time! Maybe...