It really depends on you. People vary in their tolerance for extreme temperatures. But I would be really surprised if you couldn't find a better solution among the already-given suggestions. What's your warmest overcoat right now? If it's some Banana Republic-type topcoat, then your first job is to get yourself a legit overcoat. If that (plus the scarf and gloves thing) doesn't get you comfortable, then look into the other options.