I second extra clothes in the vehicle. It doesn't matter what brand of clothes they have on as long as you keep checking to make sure they're staying warm. My 2 1/2 year old son wears a mixture of hand me downs, some name brand and some brand -X. I really watch my sons hands and feet and make sure they are staying warm. When we are done for the day I always turn his mittens and hat inside out and pull the liners out of his boots to help everything dry. I also try to dress my son slightly warmer than me, that way I know that if I'm warm he's warm.
With the limited amount of sunlight we get here in the winter, I take my son out and play for a couple hours everyday I have off of work. It's a good way for him to get a little sunlight and wear off some energy, but it also helps figure out what clothing system works best for him on cold days. Just my $.02.