If you want to work him and he is going to get sweaty in his heavy coat you should clip him in a trace high or blanket clip - leave his legs, head, top side of the neck and back to help keep him warm but make cooling out easier, and then blanket him after working. You will need to be careful to keep him warm and never allow him to stand around damp after working whether he is blanketed or not. I find a blow dryer is helpful in cool weather with a sweaty thick coated horse - I walk them cool and then blow them dry. If they are going to be stalled I like to let them out in the paddock for a roll before putting them back in their stall - that is their way of drying themselves off.