Lined or insulted vests or coats are perfect for cold winter days
. The main element that is needed to keep a dog warm is that his core body is protected, so these will add warmth right where it's needed: From the withers to the rump, while allowing free range of motion. A dog can feel super warm, comfortable and move unimpeded.
If you are only going to have one piece of clothing for your Shih Tzu, opt for a waterproof vest or jacket; this way, if there is wet snow coming down, your puppy or dog will be dressed appropriately.
If, however, you are planning on having a couple of pieces, we'd recommend one soft vest and one waterproof coat, so that you can choose which one fits the weather as switching back and forth cuts down on wear.
All of these recommendation are available in sizes XS (for pups) and small for adult Shih Tzu dogs.