Instead of putting your child in a car seat with a heavy winter coat, the Texas Department of Public Safety recommends that you 'keep your child in the clothes they will be wearing when they are indoors. Place the child in the infant seat or car seat, making sure the harness straps are snug over the shoulders and that they lie straight and flat down to the buckle. Buckle the child in and THEN put the coat or blanket OVER them -- on TOP of the harness system. You can even turn the coat around and put his arms through the sleeves after he is buckled into his car seat. This will ensure your kids are kept snug in their seat, the harness system is able to do its job in the event of a crash, and that the kids stay warm.'
The National Highway Traffic Safety Administration also recommends that 'to keep your baby the safest, always remove bulky clothing or blankets before you place the child in the seat. Then, put the blanket or coat over the baby. You should never place anything thick underneath the baby, unless that item came with the car seat originally — which tells you it's been tested by the manufacturer. When a child is wearing a thick coat, it's hard to tell if you have a good harness fit, which is crucial. A coat can add a lot of slack, reducing the level of protection for your child in a crash.'
Read this full article at http://pediatrics.about.com/od/carseats/a/0107_wintercoat.htm
American Academy of Pediatrics. Car Safety Seats: A Guide for Families 2006.
Fast Facts from the Texas Department of Public Safety. Child Safety Seats: Winter Safety.National Highway Traffic Safety Administration Frequently Asked Questions.