Oh Sorry I thought you were going to England.
I have only been to Scotland and that was cold.
Christmas eve shops will be closing early so it will be hard to purchase what you need.
But you could probably get loads for you money in the sales that start either 26th or 27th Dec if you just had a few things as I suggested before then go shopping in the sales in Europe.
Jennyore is right, wait until after Christmas and then go shopping in Europe. First week of Jan is the best time for bargains.
Amsterdam is normally not a city that gets severe colds, so you should be ok with a warm fleece, a thin wind- and rainproof jacket, warm socks and trainers for a few days.
You might want to ask in the Europe forum where to go for cheap winter clothing in Amsterdam.