It's getting colder as I move north and I've had to bundle up when outside. Thor has short hair and gets cold very easily. I purchased a couple of sweaters made out of polar fleece for him, he really likes them.
Last winter he didn't have anything to help keep warm and would shiver a lot. He's a digger as well and his little foot pads were cracked and sore from exposure. It wasn't severe, but I had to limit his outdoor activities. I have since picked up some boots for him but have my doubts about them.
Most dog clothing is designed for smaller dogs in order to make them look 'cute' but not as a practical application. Consequently these cheap items tend to disintegrate after a short period. I have looked for quality apparel and not been able to find any until recently. This winter will be the test.