Hi there! I live in Westchester County, NY, so I know what you mean about the weather we have had recently!!! But we brought Jackie home last September, at the tender age of 8 weeks, and she has been going outside since day 1 also. She balked a little at the rain, at first, but now it doesn't seem to faze her at all (although she does "get down to business" a little more quickly!).
I understand wanting to protect your little baby (I am notorious for being an overprotective mom), but he will be fine walking outside in the rain and the snow. In fact, he will probably LOVE the snow . . . I haven't heard of a corgi yet who doesn't, including my fluffy princess (who just turned 1 year old on July 1st, btw!!). You have gotten excellent advice and support above in response to your question. But if I can ever help with the "local" stuff, please feel free to send me a Private Message anytime!
ps - I agree with Linda - Milo is precious!!!