Yes you can definitely get down jackets etc in Harbin but you will probably want to make sure you are wearing fairly warm clothes before you arrive. This year is definitely a very cold winter even for Harbin. The last 4 nights have all been below -34C. It is currently -39C. That really is cold. You have to go all the way back to February 2001 to find a colder night.

I lived in Beijing for 4 years and visited Harbin once. It is VERY cold. You can buy down coats there but like others have said, wear layers. Even wearing 2 pairs of gloves is a good idea since it is too cold for your hands to be exposed while trying to take photos. My point and shoot camera froze up in the evening but was fine once it warmed up again. My luggage didn't get put on the plane(what a time not to have my stuff) so I had to buy boots there. I bought them at one of the ice parks for 60 rmb (4 years ago) and they are the ugliest, warmest boots I own!
Beware: most tour groups visit a Siberian tiger park where they claim the tigers will be released into the wild someday, which they won't. The people on the big bus can buy an animal (chicken, cow, goat) to feed to the tigers and the bus watches the tigers kill and eat it. Since we had a big group, we requested that we be on a seperate bus, the vegetarian bus, so we didn't have to watch the overfed tigers slowly kill another animal.
With that being said, the ice park is a must-see if you are in China. Enjoy!!
Enjoy your visit to Harbin.