First thing I would be doing is making sure they have proper outdoor gear with coats, snowpants and boots and than ensure extra warm clothes for under their outdoor wear so a sweater if needed and warm pants verses 'tights' or something. Than good fitting hats, mittens, scarves to cover as much of the face as possible ~ this is what I require to be here daily all winter long.

Are they traveling in the stroller, wagon or walking?

If they are in the stroller I would bundle them with extra blankets around each of them and depending on the style I would put a cotton sheet that breathes over top of it and tie it in place to help block the wind for them!

If you are in a wagon you can do the same thing with blankets ~ my old wagon had a canopy which was awesome cause I would just roll it all the way down when it was windy ~ but if you do not have one you could make a make shift one with pool noodles or something and drape a 'cover' over the kids as a wind breaker?

I know when I have a non mobile child outside whose idle I will warm up my 'bean bag neck thingies' that is for my back when it is in pain and put that in the stroller with them for some added 'body heat' so to speak.

If they are walking well not too sure other than making sure they have warm clothes and mittens and scarves to cover as much of the face as possible?