Vasaline makes your skin shine but it keeps you warm professional foot ball players do this all the time when they play in snow

Leather jacket Opaque tights

You can probably wear the same sort of clothes as you can in winter except, for example, maybe wear tights with your dress instead of going bare-legged. Most clubs have cloakrooms so I usually take a coat and a bigger bag with extra flat shoes so I can change into my heels at the club to save me slipping around in the ice! You can still wear sexy clothes just make sure you take something warm to cover up with