This is serious business if you are to enjoy your time in winter Harbin. (It hovered around -30˚ C when we were there.) Bring layers of all the outdoor gear you own, including warm boots (preferably skid-resistant on all that ice) and gloves. We were happy we had masks to completely cover our mouths and noses and little disposable chemical heaters for our feet and hands. Happily, all the buildings are very well heated, so you will not be cold indoors.
Another tip: keep your taxi until your final destination. Harbin cabbies seem to be used to this service and will offer it; they keep the meter running at a very modest rate. You will be glad you did when you come out of the ice exhibition, cold and in the dark, and find your driver waiting for you in a warm car. And if it's just too cold to walk around much, this is one way for you to pop in and out of various spots in the old part of town.