I take an evening aerobics class at Seabreeze (an awesome class taught by an awesome instructor!). If it's windy, I'm more comfortable in my neoprene jacket that I bought on line.
www.liquidpeace.com and a number of on-line shops have them. You can also buy the running shirts at Target or Walgreen's that are lightweight and just act as a layer to keep the wind off of you. True that the water is a very comfortable 82ish degrees but if you are doing classes, sometimes you stop to stand and do water weights and can get chilled by the wind. Otherwise, just run for the robe and you're all set!