I took this trip two years ago. It was wonderful. probably the best place to get tips is to read the travelers reviews for thius trip. Without a specific question, it is hard to answer, but I will try to give a couple of tips.
We had no snow but a fair amount of rain, so plan for both with the emphasis on rain. We only had one or two days when it went below freezing. I bought a long waterproof coat with a hood from LL Bean, so it served as a warm coat for cold and a raincoat. I only took one coat. We brought two pairs of boots in case one pair got wet. Only needed one pair - barely! Wore sneakers or walking shoes most of the time as we had no snow. Bring a winter hat, mittens (warmer than gloves) and a scarf. You will be outside a lot.
Bring a lot of casual clothes. Two nights people dressed up but only slightly like a more dressy sweater, but not a dressy outfit. Don't waste the room in your suitcase.
Plan how you want to carry your money. Inside pocket of coat or money belt. As with any city, but especially in Cologne and the subways, there are pick-pockets. I noticed someone standing very close to my husband in the subway pretending to listen to our guide. The guide noticed him as I gave my husband the "eye" and told the man to move along. Nothing unique to this trip certainly.
The rooms do not have irons so itf you want one, bring a travel size.
Leave room for souveniers. When you buy a cup of hot chocolate or gluwine at the markets, you can buy it in a decorative mug, and each village has its own mug design. I wish I had bought more of them.
Hope this helps. Will try to watch this in case you have any specific questions.
We loved the trip and plan to take the Christmas along the Danube soon.