Stockholm had some of the coldest days this winter yesterday and today. The city center was down to about minus 10 degrees. Very cold unless you are very well dressed! With a little bit of strong wind the cold effect gets down to almost minus 20 degrees for exposed skin like your nose, chin and cheeks. Brrr..
But as a tourist you have to make the best of it and enjoy yourself. A little ice skating will make you warm, maybe not your feets but the rest of you at least.
And after your adventures what is better than a Fika with hot chocolate and a Swedish kanelbulle. If you already had to many of those just hop on a public transport bus to get a warmer kind of sightseeing for an hour or two.