We brought along two Samsonite Thin Lightweight fold up umbrellas when we went in June, 2011. I purchased them as part of our "arsenal" to beat the heat. These umbrellas weigh only a few ounces and slid easily into my backpack. We definitely used them.
I will tell you, though, when I posted prior to our trip asking your very question, you can't believe how many people replied saying umbrellas are dangerous in crowds, etc. I was pretty shocked by some of the comments. But, in the end, I think it was for the best because it made me be VERY cautious while using one, I made sure we weren't shoulder to shoulder with others, etc.....always lots of space around us....no poked out eyes.
Good luck! That WS was like an oven as was DHS with all the concrete there.