Baby’s with jackets on in car seats.

So after reading a few posts on here about not having your baby in a coat in a car seat, what do you do in the cold months ? I’m from Chicago and here it is to damn cold just to have them wrapped in a blanket. Plus I never knew it was unsafe for a child to have a jacket on in the car ? Woman who live in colder states , what do you guys do in the colder months ?? Put their jacket on going to the car , take it off , then put it on again when you get out the car ? I’m confused , lol any help greatly appreciated.