To get the Thermal Suit costume in the Hokkaido level, find the wrench on the ground. Continue through the level until you reach the man who is shooting from the top of the building. After killing him, go to where he was. Then, run across the rooftop to the vent. Exit the room you fall into. The icon "Bash Door" should appear in the top left corner of the room. Bash the door and the costume will be in there.