Packing for a RS tour in Winter

I did that tour in December 2018. I loved it, and appreciated the chance to visit Christmas markets.
Warm gloves and hat are a must, they really made a difference. We also ran into some snow/ice and I was really glad I had packed my yaktrax.
https://yaktrax.implus.com

That's exciting that you are taking your first tour! I haven't taken that tour but have been to all those cities. I am from the PNW so I am used to staying warm and dry during the winter. If you are Costco member, I highly recommend the 32 degree brand base layers. It doesn't look like they have them now, but they should be back this fall. They are affordable and pack down super small. Layers are key- I especially like down and fleece to keep me warm. You will want hats and gloves. As for socks, my recommendations are all wool, sorry! I love the Darn Tough brand (found at REI and many more places, I'm sure). I find them to be very comfortable, durable, and they don't itch at all. If you don't like wool, I am sure REI has a good selection of warm synthetic socks. Enjoy your trip!

Bunnygirl, we spent five weeks in the Netherlands during December and January of 2016 so packed for cold weather. Because we were staying in one place I was able to pack a little more that I would have for a tour. I packed several pullover long sleeve shirts, a couple of flannel shirts to wear over the LS shirts, a fleece vest, a waterproof treated water resistant hooded coat with fleece lining, cap and gloves, and a big square fuzzy warm scarf I could triangle, wrap around my neck and let the long v shape be in front inside my coat. That scarf was a lifesaver and was a cheapie from Walmart. I know there were days that all anyone could see were my eyes. I ended up buying a second knitted cap that would cover my ears. For bottoms I took a mix of jeans and corduroy leggings (Land's End). For unders on a few extreme days/nights I added a thermaskin top and bottoms (Land's End) under my clothes along with a cuddle-duds fleece top. I took three pairs of wig-wam socks which are only part merino wool. 2 pairs of shoes - low boots and high boots which I wore on the plane. I only needed the vest one time but wore the fleece lined coat daily.
RS tours are pretty casual and in winter people are mostly just going to see your coat except at group dinners, and nobody is going to care or remember what you are wearing. Also since weather is cold you won't have to do laundry as often except for underthings.

If I were using my list from above to pack for this tour I would wear my heavy bottom and top and carry my coat on the plane and then pack 1-2 more bottoms, 4-5 more tops total (including a cuddle-duds fleece), thermaskins, 3 pr. some kind of merino socks (wick sweat, don't itch or stink, and keep your feet warm), scarf, cap that covers ears, gloves, the cheapest slippers I could find, boots, and warm coat that is waterproof or water resistant then treated to waterproof it. Did I mention you really want to take a warm scarf? And cap? And gloves?

We both carry RS convertible backpacks. I had been using using packing cubes but for that trip and since, I used large ziploc bags as the backpack is not waterproof and I didn't want my clothes getting wet when we transited. The plus was I could sit on the bags and mash most of the air out so I had a nice, tight, neat bag. I used my luggage scale to make sure I wasn't overpacking.

This is going to be a wonderful, wonderful trip and I am so excited for you getting to go on a December tour.

Don't fret, cold weather travel has been successfully researched, perfected, and executed by millions of folks before you. You're going to have a wonderful time. RS trout are totally casual but forget the jeans! Cotton is a terrible insulator and it's just useless if wet. Fleece is great but doesn't compress well. REI has a great series of articles online to help get you started with cold weather outfitting for a variety of sports and the equipment advice translates directly to travel. One thing: You're going to be in a coach or transit between attractions and in and out of buildings so you will be layering up and down multiple times each day.
Takes practice.

You also have plenty of time to obtain and test drive -- and return -- specialty items like a down jacket, balaclava, buff, liner gloves, glove/mitten combos, tights, wind pants, and a rain shell. If you cannot tolerate wool (not even merino?), explore Angora or alpaca and the huge range of colorful synthetics.

Specific brands to recommend? Why, yes, I do (and your comfort is worth the splurge): Patagonia makes three different weights of Capilene (50/50 merino/polypro) base and skin layers. It's insanely soft and warm; you might be able to tolerate this stuff. Plus, Patagonia gives good vibes.
https://www.patagonia.com/shop/insulation
https://www.patagonia.com/shop/womens-baselayers

Going carryon-only? Cramming some extra layers into a 40L bag is not difficult but you may need to sacrifice some of your familiar toys or, like many others before you, just plan to acquire some items locally like toiletries and maybe a shirt.

Repeat after me: "We are going to have a wonderful time."

Thanks to all for the advice. I'm not worried - I just get cold! And as much as I love the cold weather/snow, it can get pretty miserable, pretty fast if you're not prepared for it. We have nice, warm coats and base layers. We also have nice warm hats, gloves, and scarves. As for all of the notes about wool for socks - it's not about tolerating it due to itchiness. I'm vegan, so no wool, suede, cashmere, leather, alpaca, angora. Anything will have to be cotton or a synthetic.

We always do carry-on only, but we've never traveled in the winter - at least not anywhere cold, just I'm just trying to get a sense of how to pack most effectively and still be warm!

I went on this tour in December 2019 and loved it! Because it was winter, I bought a 24-inch 4 wheeler in order to accommodate heavier clothing and i needed the extra room. Obviously, I had to check my bag but I was flying directly to Munich. Usually I try to carry on my bags but I made an exception for this winter trip.
In 3 weeks I’m going on the Scandinavia tour and trying to pack for a variety of weather in spring, a changeable time of year. So I may check my bag.

You will enjoy this tour and especially if you’re warmly dressed.
I’m editing to add: I use packing cubes to keep my clothes organized. Layers are important too. I do wear light weight base layers like cuddle duds tops and bottoms.