Musannaf Ibn Abi Shayba 33:310

Mu'tamir ibn Sulayman narrated to us, from 'Abbad ibn 'Abbad ibn 'Alqama al-Mazini, from Abu Mijlaz, who said: The companions of Ibn Mas'ud felt the cold. He said: A man would feel ashamed to come in a lowly garment or a lowly cloak. Then Abu 'Abd al-Rahman (Ibn Mas'ud) appeared in a coarse woolen cloak ('abaya), then he appeared in it the next day, then he appeared in it on the third day.