Right now Stockholm is experiencing a super cold winter, temperatures are around -10 deg celcuis and with a little extra wind and snow fall it feels pretty cold to say the least.
Your best bet is getting properly dressed for Scandinavian winter climate. Meaning a down jacket, boots, extra pants and great gloves.
Weather you bring your skies or not depends on where you go. Many streets are now fine for a little skiing, in the center of the city maybe it’s not a great idea as the road departments are busy trying to remove snow to help traffic getting thru the city.