Absolutely, I change my ammo. I use a light blue nose Hydra-Shok .38 Special during summer months, but 110gr +P JHPs in the winter. My gun is a stainless 5-shot Rossi with a 3-inch barrel. The latter was used a number of years ago by a friend of mine who was a Treasury agent. He said they used it all year round and they had good results with it. When he switched to a .40 S&W auto, he gave me a couple of boxes of his old ammo, so I still have some. But yes, when people don heavy coats, you usually need something that penetrates a little better. If you're using a .357 Magnum or a 9mm or higher, you probably won't need different ammo. But when using .38 or lesser, yeah, I'd change it. And if you use less than 125gr in a .357, you'll need to bump it to 125gr. If you use 110gr, it'll break up in heavy clothing.