To get to and sit in the church I'd wear the smartest, weather appropriate coat or jacket, which looked ok over the dress, leaving it open to show the dress.
I've never been at a wedding hotel or other formal event venue which hasn't set its temperature on the assumption that female guests might be wearing thin/ flimsy/sleeveless/ backless outfits and male guests can take their ties and jackets off.
If I really thought the venue would be cold I'd carry, but not wear, an oversized scarf / shawl which could go round shoulders if needed. I doubt that it would be with a long sleeved dress