You could have them put their shoes on but don't tell them why. Pretend you are going to play a game that has to do with shoes. Have them dance in them or what ever for a few minutes and then sound the alarm. That way they already have shoes on and you're telling them you are going to have a drill. As for coats, they will be fine for a min. outside. I've had to bring babies in rolling cribs outside in the winter before and they were fine.
I meant to say you are not telling them you're having a drill.
