I've stopped carring a Heatsheet in my EDC stuff. For a while I carried a tarp/poncho and still do if I'm hiking for the same reasons Blast mentioned but for urban I've switched to an Eddie Bauer pack jacket made of ripstop nylon. It's more bulky but looks like a regular jacket when I'm wearing it and saves me from having to carry a jacket...something I was likely to do anyhow with a heatsheet in my pocket.

I also carry an tiny umbrella in my bag along side my pocket kit and first aid kit.