I don't do it, because I don't like to make it complicated to get DD out in an emergency situation. It's not always possible to take the seat out with the child in it (for example, drive off icy bridge into water).
Last year we bought the Patagonia puff-ball jacket (which unlike it's name is NOT puffy, it's actually very thin but has really warm insulation). A tech on another board had one and thought it was thin enough. It's a nice coat, expensive, but nice.
Baby/Toddler Puff-Ball
Kids Puff-Ball
We also had the Puff-Ball pants because the wind gets brutal here, but this year they don't fit, and they don't make a kids version in the pants, only the jacket. So, she's wearing the Puff-Ball jacket for days when she can do without pants, then on days that the wind is bad, we're going to try the
Columbia Annie Angel pants ONLY in her seat. She'll wear the jacket and pants out to the vehicle, but take the jacket off and wear the pants in the car seat. The top half is fleece so these aren't near as bulky as regular snow pants and the fleece top half is like wearing a fleece vest for warmth. Then I'll just throw her jacket on top of her if she wants to cover up (or a fleece blanket). We'll see though, I have to test it out to see if I am happy with the harness fit. I do know that it's much easier to adjust the hips than to fiddle with getting the shoulders adjusted around a hood or collar on an unzipped jacket.
Plus, my kid is like Shanora's and HATES to wear a coat in the vehicle or even out to the vehicle. She demands her coat be taken off when she gets in her seat, and that's assuming you could get her to put it on to start out with. I am hoping the pants will solve the frost bite and wind chill issues but keep her happy that she has no coat!