I've got an old threadbare pea coat I generally wear, protects me from ashes if the wind kicks up. If it's wet (often) I'll wear this long double breasted wool coat, mid-calf, copy of German Navy overcoat, to stay dry. They're both dark, so you don't see the burn marks, and wool, so they don't ignite like synthetics. And either a cap, cowboy hat (wind/rain), or Greek fisherman's cap.
It's interesting reading what y'all wear and wondering where you are. You guys in shorts probably aren't in MN, and those mentioning sub-zero aren't in FL!