Oh yes! I do. My TB is body clipped and it is really cold here so it is mostly for him but it keeps me really toasty too. I have a wool one and it is the kind that goes over my legs which is really nice. I got it off of ebay
for $10, someone won it at a horse show so it is embroidered with the show name and sponsor but if you're not snobby and don't care about having used stuff (it was never actually ridden in!) then you can get some great deals.
He warms up a lot nicer for sure and we just slip it off once he's warm and then pop it back on to cool out. Also, the other day was beautiful and sunny but really cold out, my riding buddies and I went on a little trail ride and we all had 1/4 sheets. We passed some other girls who were turning back because it was too cold but we were all nice and warm with happy horses! Can you tell I love my 1/4 sheet? Heehee.