We also use the Chilly Dog brand. The first time we put it on Caesar, he froze in place and wouldn't move - totally freaked out. He let me put it on, but then was paralyzed by fear of the unknown. So I used the 'move his mind forward' method and fed him treats - first right in front of him, then each treat I would move just a little bit away and eventually got him to walk forward while he was wearing the jacket. When I took it off, I let him smell it and gave him lots of verbal praise with a couple more treats!
It took a little bit to get used to, but then I think he was reluctantly grateful he had it. We're in the Canadian Prairies so for six months it can be anywhere from 0 to -60C (32 to -76F) so a winter jacket is not an option where we live.