What insulation would you use...?

i am planning a trip to new york in the beginning of December and want to make my own coat rather than spend a fortune on it. i had planned on using a wool, or a nice plaid for the outside and line it with fleece- i know this sounds like overkill but i am a very tiny person and would rather not freeze to death. what insulation, batting etc would you use to give it extra warmth?