Winter in Europe - Jackets when going out

Hello fellow Contiki peeps

I am planning on doing a tour of Europe in winter. Just wondering if any past travellers have any advice regarding jackets/scarves when going out at night time.

Are you able to check in your jacket at the door of clubs/pubs/restaurants or do you need to carry it with you (on the dance floor etc?)

Also, shoes it winter. Do I even bother packing heels/wedges or stick to boots?

Thanks folks