Wear layers, with the cold-weather clothing on top.
Usually, the cold-weather clothing is the bulkiest, and having it on your person instead of in your luggage means you can fit more in limited luggage capacity.
Also, if bags go missing as they sometimes do, I’d rather be stuck with the winter clothing than without; this has been validated by past experience.
You can quickly take off a coat and carry it in your arms or tie it around your waist through the warm-weather airport, so that heat is not an issue.
In many hot places in the world, social norms dictate long pants every day anyway, so learning to deal with that even if you’re used to shorts is probably a good idea. It can help you make a better impression on the security personnel, airport personnel, rental car staff, hotel check-in clerk (if applicable), etc. which can help make your journey smoother. A nice pair of khakis works as travel day clothing pretty much anywhere; silk or regular long underwear can be added underneath at the arctic/antarctic end if need be.
A beanie hat is also a good idea to help keep your head warm, and you can pull it down a bit over your eyes if you need to block out light for a flight nap.
In my experience, it is always cool on airplanes, so I either dress warm to start (coming from a cold locale start), or bring things that I can put on to keep from getting cold (warm locale start) as the plane climbs in elevation.
When traveling in winter conditions, you can’t expect to be “babied” in urban conditions at all times. Cars break down, facilities lose power, planes use airstairs. Prepare for unexpected cold.
My standard go-to anytime I need to be prepared for unexpected cold is Capilene long johns, arctic grade. They are excellent insulators, but don’t overheat you (much) so you can continue wearing them indoors. They also have excellent wicking to keep water away from your skin, in case you get wet – cotton does the exact opposite; in cold temperatures, cotton kills. They don’t replace outdoor wear, but I find they give me about 15C advantage, allowing me to dress that much more lightly. And they take almost no space and last for decades with rare use.
I always have them at-hand anytime I work in -5C or below. Stripping down to ones skivvies in -5C to put them on isn’t the finest experience, but it’s 2 minutes of pain for indefinite “ahhhh”. Obviously if I was engaging in airflight, I would put them on when dressing. They work best as the bottom layer (briefs notwithstanding). Capilene under a T-shirt is a common look for me when I am enjoying warm transit to a cold place. Makers even make them in attractive patterns suitable for outerwear, talking the shirts of course, so I could omit the T-shirt.
It’s always worth having some extra clothing in your hand luggage — you’ve noticed luggage can go missing and even shopping for replacements can be problematic if you’re not prepared for the conditions on arrival.
A thin fleece and thermal layers don’t take up much room. In fact they can be stuffed in the pockets of a coat suitable for the cold end of the trip. This coat only needs to be worn while passing through the more annoying check-in/boarding processes (cheap airlines trying to call it luggage, especially if packed with stuff). This coat can also be handy as a blanket in case the airline provides something inadequate (or nothing). Also a warm hat and gloves would be a very good idea. I tend to fly in hiking boots if I’m taking them on the trip. A thick pair of socks will act as slippers on the plane and provide insulation under the boots.
The key is to change on the plane. I don’t like getting too hot, but if I’m landing somewhere cold, I’ll get the inner layers on during the flight so I can just throw the (fleece and) coat over the top on landing, put on my boots.
This happens to me all the time and on my last travel I have crossed a 62C temperature difference, from Jamaica to Canada in January. There are two conflicting concerns when this happens, one is comfort and the other is practicality.
Generally I wear clothes according to the destination weather. Going from Canada to Jamaica, I had the lightest pants and a t-shirt. Over them I added a mid-weight sweater plus a jacket good until about zero Celsius, so I was cold going there. While I was wearing sneakers, I also packed light gloves and a mid-thickness hat. When I got to the airport, before checking my suitcase, I packed the warm items into it. This meant two compromises:
To be completely safe, I would have needed the really heavy gear but practical matters means to take on some risk, although when travelling with kids, we do take all their heavy gear which takes a lot less space than the adults.
Another time I was travelling from Mexico to Asia. Only needing light clothes on either side, that is all that I packed. Unfortunately, my plane was rerouted through Minneapolis with an overnight layover and it was -20C there in February. There was no way I could plan this, so I piled up all the clothes and felt like freezing to death while waiting for the airport shuttle to the assigned hotel.
As you see, one cannot be ready for every eventuality. What I settled for which gives me reasonable chances of not suffering, it to wear clothes for the destination weather and pack some additional items for the departure and return. It is easier to have a light change of clothes in your carry on than heavy ones since, many will not even fit, so generally that is what I willl do and I have changed in the plane bathroom, particularly when having to add or remove an under-layer (long-johns) a few minutes before descent and also using the airport bathroom before departure.
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