Same as the PPs - we use a fleece coat that is thin enough to be ok in the carseat, his stocking hat and then if it's frigid, I'll wrap a blanket around him. I always throw the blanket over his legs once he's strapped in since I can't always warm the car up (i.e. we're out and about running errands). If you have an exersaucer (and aren't in an apartment), put baby in there and run out to start the car or sit baby in the crib for 30 seconds if warming the car up is important to you.
Also, like PP mentioned, if you're using a BundleMe in the carseat, please know that they are just as unsafe as using a puffy snowsuit or coat. Shower cap style covers are ok but I've never seen one for a convertible carseat.