I have never found Beijing to be too cold. It's practically the same lows and highs like NYC. And Beijing in Jan is so much easier to walk around since there are less people and the skies are usually clearer than in the summer. Chicago gets much much colder than Beijing does.

I would say just put on a coat, gloves, hat and scarf and you should be fine. Once you start moving around from place to place you will stay warm.

I'll be in Beijing on New Year's and also on Jan 13, but only in the morning....afternoon flight back to NYC.