Oh yes, the SAME problem over and over with my stepdaughter!
First, we go over that her hat goes in her sleeve when she takes off her coat. We make her do that at home so she gets in the habit.
I bought those clips (they are only $1.00 at Target) and we clip her mittens to her coat. I also clipped her hat to her collar in the past, but she hated that so much that I stopped.
One day she unclipped her mittens and lost them so I told her that if she didn't find them she would have to buy a new pair with her own money. Also, her mittens STAY CLIPPED to her coat.
If she unclips them again I am going to sew them to her coat with an elastic strip (like the mitten clips but sewn instead of clipped). So far except for that one time she has not lost her mittens yet!
We also got her a coat with a hood and we don't send her to her mom's with a hat because it just gets lost.
Target also had hats and mittens for $1.00. I bought a bunch of those in case she comes over hatless and mittenless again!
Good luck! I know how frustrating it is!