Brody and Mia love clothes, so no issues there. I got them 3 months apart when Brody was 14 months old and later when both Brody and Mia were 17 months old. Mia's previous owner said she didn't really like clothe, even though the owner would dress her anyway as a puppy. Brody never wore clothes until 12/23/11 and loved them from the first moment.
You might try putting the coat on him when it doesn't matter how he reacts...make sure it is not so warm indoors that he will get too hot, but put the coat on while you sit and watch TV, read, etc., or at his nap or bedtime to give him time to adjust to the feel of it and so he can 'break it in' a bit. You can continue to walk him in the other coat with a soft T or sweater under it for warmth.
Brody and Mia have warm fleece hoodies that they even love to sleep in...which is another option. In the attached photo, they are very dirty kiddos, having been playing in the dirt, grass and leaves, digging holes and knocking each other down in all that dirt, but you can see the (dirty) hoodies.