I agree that the clothing categories have not been very well thought through. Also, it strikes me that what happens with athletic wear could happen just as easily with formal and party wear, so now our sims are really -- erm -- exposed. Ideally, I suppose, there should be "hot" and "cold" categories for everything, but this would make things terribly complicated. Just for information, though, I gave my main sim couple the Cold Acclimatised trait and they both went jogging in freezing weather more than once, with no ill effects, so that is one possible option.