This is a pic of my daughter in her Graco Nautilus in her winter coat.
The harness is tight and she appears to be secure. Right???
But when I unbuckle her & she removes her coat, the harness (not adjusted) is very loose.
In an accident the coat would compress and allow all the extra slack in the harness & she would be far more likely to be injured or ejected from the seat.
The last pic is how the harness should be.
The harness is snug and the chest clip is at armpit level. If the chest clip is low on the tummy it can injure the child, it is to help keep the harness on the shoulders in the proper position.
You can use blankets or put the coats on backwards if needed to keep your kids warm. As long as it doesn't go under the child or interefere with the harness it is fine.