We have Ozzy trained to go outside also, and since this will be his first winter coming up we have gotten him a sweater and we have a rain coat on order. We live around Vancouver, BC, Canada, so the winter weather here is usually pretty mild. Not sure what we will do if we get heavy snow, but we'll figure something out.
I find that at this point, if it's raining outside Ozzy just wants to do his business and get back inside
which is fine with me!