Some dragons sleep deep underground when the snows come. Others grow a dense layer of fur between their scales until they resemble shaggy sheep.
Dragon wool, while hard to obtain, is the warmest fibre known. Even the crafty elves cannot match it, despite their best efforts. But it is also the heaviest, making it impractical for garments.
One shed dragon pelt will make multiple cloaks and blankets, and has in recent times been donated by a shedding dragon for use in hospitals. While this may seem very generous on the dragon’s part, they do benefit from a nice scrub down to assist with shedding, and don’t have to dig their lost fluff out of their stuffy summer dens.