Same as what everyone else says. Wear a suit.
Beyond that if you are really concerned about the cold there are some options...inexpensive and expensive:
-overcoat, can be a fancy one from Nordstroms, Men's Wearhouse, etc., or just a basic one that you take off as soon as you get in the building
-thin sweater (will keep you warmer and won't be super bulky)
-gloves, scarf, hat, things that can keep you warmer and will conceal well