Gloves/Mittens: Apart from saving you from the cold, these will also prevent your hand in case you fall.
2. Pants/leggings: Avoid wearing shorts and street dresses when you go ice skating.
3. Light jacket/sweater/sweatshirt: Since you move around a lot during ice skating, a light fleece or sweatshirt should do the job just fine.
4. Helmet: This is an option but recommended.
Must Explore: Things To Do in Bukit Bintang