The New Life Winter Storm Robes Costume requires you to gather 15 Bolt of Winter Storm Cloth Fragments. The Fragments have a chance to drop from New Life Festival Boxes during the New Life Festival. You can keep track of the amount of Fragments you've consumed by checking the A Warm Winter Storm achievement under Holiday-> New Life Festival in your Journal.
You can also buy theBolt of Winter Storm Cloth Fragments from Impresario for 2 tickets each.