Honestly, you barely have to do anything to get the winter jacket, and there is no convoluted process with excessive tool requirements like with some other items. No caverns or dark depths need exploring, and that's a comforting fact if you hate going out of your way. The winter jacket is located at a specific open location when referencing the overworld map, and you can easily pick it up in a few minutes, so go for it so your blood doesn't freeze!