A warm sweater, thick hoodie, or medium weight jackets are a must for the nights. If you're coming later in the month, bring a jacket and sweaters so you can layer on colder days. A simple crewneck sweater like this one is great for layering.
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Anything too slim or fitted (this includes skinny jeans) will mark you as not from here. Also, if you want to look really insider-y, she said, “throw your chunky oversize knit sweater over your coat instead of a scarf, and tuck your oversize tote under the arm, not on your shoulder.” Finally, don't be flashy.
The back of a chair is an easy target for a thief. Never carry a wallet in a rear pocket, use a front trouser or an inside coat pocket. Be particularly aware of your purse/wallet in crowded situations, such as rush hour trains and buses. If you are jostled in a crowd, be aware that a pickpocket might be responsible.