I live in Scandinavia and have never taken any special measures to keep my dog warm on walks, but then I had a Tervueren (Belgian Shepherd), who had no problems with the cold.
For a small dog such as yours who will chill faster, I would recommend getting a special dog jacket to keep her warm.
Another important thing to consider when you live in a cold climate is the dog's paws - ice and snow can get stuck and lumped together in the hair between the pads, scraping the paws and generally causing discomfort. Make sure that you check her paws after every walk in the snow. Also, if they salt the roads and pavement to get rid of the snow and ice, this can also be an irritant. It's a good idea to get some "paw wax" from the petstore (it might be called differently where you come from) and rub it on her paws before taking her out for walks in winter.