Not exactly lockers, but my solution to this problem is to wear a couple t-shirts and a sweater, with a pair of gloves, a scarf and a toque, forgoing the jacket all-together. It's usually fine when going to the airport, as you are getting into a warm limo, but can be a bit chilly coming back if there is a line at the limo stand.

If you are driving, then you just need one hearty soul to go and warm the car up for the rest of the gang.

Greg