I won tickets to ICE and a free night at Gaylord Palms last year. I used to live in Buffalo, NY so I know what cold is, but it had been 9 years since I had experienced that kind of cold. Man, it was FREEZING!!! Take gloves, a scarf to cover your face and tissues. Most people, including us, had runny noses from the cold.
They give you long, heavy parkas to wear. DH said he was going to tough it out and just wear the jacket he brought, but everyone coming out told him he was nuts so he decided to borrow a parka and he was really glad he did. These coats are long enough to cover your butt and if I remember correctly I think they go down to your knees. I don't remember DS or myself getting wet when we went down the slides.
We won enough tickets so we could go through ICE twice. The second time I made DS wear his PJ's under his clothes, like long underwear. He said it was much better that way. BTW, it was really cold outside that weekend so we took our heavy jackets with us. We wore those under the parkas.
My camera got so cold that it stopped working. Try to keep yours inside your parka when you're not using it.
HTH