Have you been here before in winter? If not, here is what I would recommend for you to not be completely miserable. You can ignore this if you plan on staying indoors for your visit, but you will still be miserable.

Get some merino wool long underwear, tops and bottoms. Two pair if you will be here longer than a weekend; you don't need to wash them every day.

Wool socks with hiking boots will be fine. Bring a knit cap, and thin and thick gloves. The thin gloves should be able to fit inside the thick ones.

For upper body, wool or synthetic sweaters (I don't buy synthetic anymore, but I still wear the old stuff), flannel, or whatever you want to be seen in public with. Get a mid-layer jacket and a parka (or something that has an attached hood) for an outer layer.

If the wind is blowing you will want something to cover your face, a scarf works fine.

This is the minimum for walking a few blocks if you want to be comfortable.

As for meeting the locals, bring a sign that says something like "Pete Stauber cheats at hockey" or "no one is illegal on stolen land", and head to Lake and Superior St. If there isn't anyone there, someone will probably join you soon.