Whenever I would work with kids with sensory issues you would do as Bright Sparks suggested. Find something that works for them and slowly desensitize them. Difficult for you for sure as winter is now upon us. The expectation would still be the same as the other kids though. One boy I had in my daycare had some major sensory issues. I would start at the beginning of the season (before it got super cold) and he could choose to wear the hat/mitts etc or sit on the stairs and not participate. He was used to wearing his stuff before it got really cold. He would also throw a fit if his mitts got wet or were forgotten and he had to wear his back up ones but he eventually had to get it.

It is much, much harder with your own kids! I'll be the first to admit that. If I am struggling with something my daughter is doing my husband will ask me "what would you do if one of your DCK's was doing that?" Usually works!