It's not the skin you need to worry about, it's how much fat there is under it. Tough native breeds of any colour generally cope with cold and wet weather far better than Continentals. It's why many local farmers who've tried terminal sires like Beltex, Charmoise, Rouge, Bleu de Maine and Charollais go back to Suffolks and the Down breeds, whose lambs can cope with lambing outside.