In the winter months, Sam will stick a lot closer to Dean than normal. His jacket’s very thin compared to anything Dean owns, so it doesn’t keep him warm. Not to mention, being so small, he doesn’t hold much body heat. So it’s a lot of time spent in the chest pocket. The side pockets don’t do any good keeping him warm unless Dean has his hands in them, and then it can be claustrophobic because Dean takes up all the room.
This doesn’t stop Sam from having fun in the snow. He always wanted to build his own snowman. He just has to watch out if he throws any snowballs at Dean. Dean might throw his own back. (And then have to dig Sam out from under all the snow)
Plus, sledding is awesome when you’re four inches tall. A pile of snow half Dean’s size makes a huge hill, and if he can convince Dean to help, he doesn’t have to trudge all the way back up.