H.W.
I'm a little confused: why are they doing chores because they forgot their coats? I thought the consequence (at least, in this case) was that they couldn't go do the fun stuff and had to stay home.
Please take the advice as it was meant, without judgment (because I have made a lot of mistakes along the way too :) ) : I think you really have to pick your priorities sometimes. Had I been in your position, here are a couple of options I would have used:
1. I would have decided what was most important to me as soon as they were digging their heels in: do I want to teach the lesson *today* (because there will be other days ahead!) or do I want to wrap gifts?
2. If I wanted to teach the lesson, then I would let the lesson stand: you didn't wear your coats? Now it's too cold and you can't go? Wow, that's too bad, huh?
3 If I really wanted the kids to go, with their coats, I might have suggested (as I do with my son) ... "Go outside for a few minutes and see what the air feels like. Think about what you need to stay warm." Sometimes, kids need to experience this, and it's a kind way to give them a chance to correct their mistake before it happens.
3. OR you could have sent the coats with the adults.
I realize the kids are probably in bed now, but just wanted to offer a different way of thinking about these moments. For what it's worth, when I have plans and my son (5) does something which could potentially throw a wrench in the gears, the consequence is usually to calmly tell him "you know, I had already planned to get X done right now, so you will need to play by yourself for a while, I have things to do." This would be, perhaps, when he doesn't get it together in time to go on an outing with his father.... it happens occasionally that he doesn't get dressed quickly or doesn't take care of his responsibilities.... not getting me to play with is plenty of consequence.
Good luck next time. And if I think of any household chores to wear out a busy five year old, I'll let you know. Still hoping for those myself!