I use jackets on mine in the winter here also, and sometimes they still shake with the jackets. It seems that my younger or smaller ones feel the cold more than my chunkster (8.5) pounder. They have hair and not fur, so it is like your head. It will get cold if you do not cover it. there have been cases of yorkies freezing to death because they were put out in cold temps and had no way to keep warm. My girl loves to play in the snow, and she will stay out there until she is so cold all she can do is stand and shake until we go out to pick her up and bring her inside. I try never to leave mine out longer than about 10 minutes in the cold weather, and if they seem cold I will put a shirt on them in the house until they warm up.
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its 37 outside, I put a warm sweater on my yorkie and let her out. She looked at me like it was gonna kill her. She started shakeing. Something she does when she's scared.