I have used a mylar blanket inside my jacket before for extra wind protection. I knew the blanket would never get back into its little bag. Then I got a better idea for long term extra protection that doesn't take much space and deploys quickly.
I took the blanket and folded it in half, cut it a bit shorter in length and duct taped the edges to make seams and give it more structure. I also cut a head hole and taped it off. I ran out of blue tape and had to switch to red.
Here it is. If the wind is too cold, throw this on under your jacket and it does make a big difference. A bit ghetto, but effective. You do sound like a bag of chips when you walk around in it, so it's not a good option for sneaking up ninja-style on anyone.
If folds up nice and into a quart size bag. Throw that in your saddlebag or jacket pocket and you always have a little more warmth/wind protection if you need it.