When the wind is bitter and the snow is blowing, what do you do if you're a diplomat and you're planning on going to an outdoor presidential inauguration the next day?

"What are you going to wear in the cold?" Austrian Ambassador Thomas Klestil asked Soviet Ambassador Anatoliy Dobrynin at PepsiCo's brunch for the diplomatic corps at the rooftop restaurant of the Kennedy Center yesterday. This was before the parade was canceled.

"I don't have any fur coat," mused Dobrynin, "even in Russia."

"I have this kind of sheepskin-lined coat," said Klestil, "but if you wear it, it's not really keeping with protocol."

"You'll look like a Viking," chuckled Dobrynin, who was in a fine mood. He said he was hopeful for success in disarmament negotiations, and crossed his fingers and grinned. Outside the tall glass windows of the restaurant, the sun glistened through cold wind. "Fresh air," Dobrynin said approvingly.

"If you wear your regular wool coat, you freeze, but you're elegant," sighed Klestil. "I'll do the same thing I do when I go skiing. You wear thermal-type underwear." He laughed. "It's my first inauguration."

Not the case for Dobrynin, the most senior diplomat in town. "You spend 25 years here and you become dean of the diplomatic corps," he said. "Maybe some small revolution helps." In other countries, he means.

Waiters circulated pre-brunch with trays of orange juice, champagne and Pepsi.

"Would you like a Pepsi?" Bim Kendall, wife of PepsiCo chairman Donald Kendall, asked Dobrynin's wife, Irina.

"No, it's too cold," she said, laughing.

Donald Kendall held the same kind of diplomatic brunch four years ago. This one started with tiny glasses of Stolichnaya and smoked salmon and went through sirloin and poached egg and Cabernet Sauvignon. It ended with chocolate pistachio torte and Kendall's simple champagne toast to the president.

Jihan Sadat, the widow of slain Egyptian president Anwar Sadat, mingled with guests. She'll be lecturing at American University on Wednesday on her experiences in Egypt and the status of women. "I'm very happy," she said about Reagan's inauguration and attendant festivities. "It was lovely. I was watching the gala on television."

Sadat also signed a book contract with Simon & Schuster this week, according to her adviser, Milton Fenster, who was at the brunch with her. Asked if she got a big advance, Fenster would only say, "Very big."

Dining with the diplomats were several Cabinet members: U.N. Ambassador Jeane Kirkpatrick, Secretary of Defense Caspar Weinberger and Secretary of Agriculture John Block.

Kirkpatrick, in purple and black, who has said she will resign her U.N. post, would not reveal what she will do next. "I know what I'll be doing, but I don't propose to tell you," she said. "I said many times I've made a commitment to the president not to comment to people like you." She meant reporters.

Weinberger came late, after the private swearing-in. "Very moving, very simple, very nicely done," Weinberger said. He laughed when asked if he was getting another job. "This one's big enough," he said.

And here's a blast from the past: Rose Mary Woods, former secretary to President Nixon, was there, too. She does some public relations consulting for small companies and has no plans to attend today's inauguration. "I'll watch it on television," she said. "I had a triple bypass last year. I'm not going to stand out in the cold."