"I wish I had brought a fur coat!" wailed one fashionista as she huddled with her friends under a mushroom heater outside the Moschino Cheap & Chic show. While New York experiences delusions of springtime, Milan's sudden arctic temperatures have everyone wishing they'd packed their woolies. Those who did bring cold-weather gear are breaking out fur, shearling, and heavy knits. The chicest way to wear them is with shoulder-strap bags buckled across the body—the better to keep the warmth in.