I always loved the fact that canonically speaking she spent 90% of the time pulling her shenanigans in a pencil skirt, turtleneck, and pumps (which is the outfit she wears under her coat)

and the other 10% of the time was when she was in a cold weather environment so she very prudently wore a fur-lined coat and pants and boots

but regardless it's her sort of perpetual "and by the way keep in mind that i'm smoking you this bad and I'm doing it in high heels"