Dexter's a big boy and this is his second winter, he's coping MUCH better this year and tolerates the cold really well. I dress him in flannel pj's and put a parka over top, so he's as covered as possible. We have over a foot of snow now and he loves romping through it. He's good to about -15 c (5 f) but colder than that and he's too cold, but like I said, Dex is a bigger boy, close to 11 lbs.
My point though is pj's as an under layer, plus a parka that velcros around the belly and neck are a good combo