I live in one of the warmest winter climates out of all correspondents of this blog: Silicon Valley, California. Though I know what a real winter is: today thermometers showed 14F in the town where I grew up and it can get much much colder there. So Silicon Valley feels very warm to me in comparison. But sketching during winter is tricky nonetheless.
First thing I use and would recommend is fingerless gloves. Mine have a mitten attachment which warms up my fingers in between sketching :)
Second thing I find very useful is a baseball hat with light built in. Mine has white, bright white and - the most useful - green light. It gets very dark very early - these days many of my park adventures happen or end in darkness - and this hat allows me to a) be seen by my companions, bikers etc. b) Draw :) Green light is very soft on my eyes while they switch between the object and my sketchbook - though I do quite a bit of blind contours anyways. Too bad my hat is not very warm - I look pathetic with baseball hat over knitted beanie - good thing people around me see only my lights ;)
Here is a sketch of my gear:
And here is a couple of sketches done with my gear:
