-Obvious stuff includes at least a sweater and/or a thick hoodie for those bitter-cold nights. You won't need a winter jacket since you won't be staying for a long period of time in the West.
-Shoes/boots that can also stand precipitation (in case it happens to snow, by some miracle) are a nice addition, but those can be bought for cheap here and only if it really snows.
-If you sweat a lot in suit, going outside might actually make you a little too cold rather than just cooling you down. Long-sleeve under-suits that absorb sweat/moderate your body temperature from getting too cold will help a lot (though I know you already have an undersuit)
-A hat or beanie is a good idea to keep those ears warm outside!

Don't worry too much about packing stuff for the winter, the seasons have been good to MFF these past couple of years. The most you have to worry about is keeping warm - everything else is the same as if you were going to any convention. If anything, Tien Long will zap or snug you back to warmth!

Hmpf...I MAY let you freeze a little, before thawing you out...

I would suggest a jacket of some sort that is not wind-permeable. (A leather jacket or something similar would work, especially in conjunction with a sweater or hoodie, if you don't feel like springing for a proper winter jacket.) Chicago is called the Windy City for a reason, and I can tell you from bitter personal experience that wind chill sucks. Bring a jacket that will keep the wind off you, and you'll stay much, much warmer. (A long jacket would be better, because jeans insulate about as well as paper toweling. If you can keep the wind off your legs as well as your torso, awesome.) Gloves are also a good idea. And a hat that will cover your ears. Extremities like fingers and ears frostbite easily: protect them!

Aside from that, I would suggest planning in layers. This will allow you the flexibility to adjust with temperature. Too cold? Add another layer. Too warm? Take one off. Make sure the innermost layer is dry, or you might as well be gallivanting around in a wet towel. Ronnie's suggestion of a sweat-wicking undershirt is a fantastic idea.

Also, warm socks. Wool, if you're willing to get them. Wool is considered one of the best natural winter fabrics out there, because it dries from the inside out. (Unlike cotton, which survivalists call 'death cloth'.) Want to keep your toesies toasty? Wool socks.