This will be my first winter with my Pro 22 and want to know if anyone has used the thermal jacket.  Does it help hold temp and save on pellets?

To the best of my knowledge, the Traeger jacket has never been available here in the UK. But I bought a GMG jacket (intended for a Jim Bowie) and it was close enough that I was able to make it fit my Traeger Lil Tex (it involved cutting a bit out to fit around the pellet hopper, and making holes for the handle).

Although I have no objective records, I do feel the pit has been more efficient and stable since. Originally I bought it for winter use only, but for the last 3 years, it has stayed on the grill throughout the year.

You could try a welding blanket. When I had my Yoder I used a welding and moving blanket.

was just about to say same thing - try a movers blanket and welding blanket as they will probably be a cheaper option and do just as good a job.

 It does help(my Lil Tex)..However cold weather takes toll as COLD air is being fed thru the pit. As a result more pellets will be required,jacket or not.  There is a warning that comes w/ the jacket:not to use above 34º.Traeger is being cautious making that statement as they don't want to have peeling powder coat problems caused by overheating. To me you wouldn't have problems using the jacket @ higher ambients cooking @LOW temps I.E.<300º..Welding or movers blankets cost far less, don't fit as well and may blow off in the wind. As well they must be removed to open the lid..

Had the insulation jacket with my Lil Tex Traeger and liked it.  Could not achieve 400* temps without it in winter.  My son has same unit now and keeps the jacket on year around.  Uses less pellets but has not measured the difference.  Lots of folks have reported using welding blankets with great success.  They are certainly cheaper.  Will a little sewing machine skills, I'll bet a welding blanket could be altered to allow opening and closing of the lid without removing the whole blanket.  There are also several aftermarket smoker insulation jackets on the market as well. Not sure how efficient they are.
Disclaimer: I now have a Blaz'n GS which is double walled, so I don't use an insulation jacket. But I do use more pellets in the winter.   

I just use a welding blanket on extremely cold days and it works just fine.

I have one for my Jr. because the exhaust vents out the back and not a chimney.

It's very well made, but I only use it if the temps get below 30 or so. Even then, I keep a close monitor on it. I tried a couple times at higher ambient and it tends to really heat things up (think blackened ribs).

I use a welding blanket but I also have 6 firebricks that I have 2 on each side of the fire pot to help retain heat.

I use a welding blanket but I also have 6 firebricks that I have 2 on each side of the fire pot to help retain heat.

But it takes longer to heat them up. 

 Adding thermo mass (fire bricks) won't do anything to save on pellets..It does speed recovery temps once they have warmed up. I.E. opening the hood to add or adjust food. It also helps w/ more even temps..The down side is it takes longer to heat up and cool down..I used 5 fire bricks in my Lil Tex year round. They do lengthen clean up times in that they should be removed  and replaced for a total clean..

Super 8; Do you do high temp cooks in the hot weather and if so do you have peeling or flaking powder coat??  The reason I ask is that Traeger advises not to use the jackets over 34º.

 Many thanks Super 8..The info you supplied. It has helped me  better understand things.  Just wondering why Traeger says not to use above 34º..Does anyone know?

The last couple winters I have used moving blankets on mine when our PNW weather has gotten windy and rainy, especially windy.

I did a lot of jerky leading up to Christmas, I tried to keep my cookers at 160 by adjusting the P settings but on a couple days it was really tough when a cold wind would hit the cooker.  Draped a moving blanket over it and it stabilized out nicely.

I have the traeger insulation blanket for my Texas grill.  I have also been using a PID as I couldn’t stand the traeger temp controller.

I rarely use my blanket

I live in OK so the winters aren’t as cold here as many other places and traeger warns against using it in Temps above 35 degrees.

I have no doubt that the blanket improves fuel efficiency as you would expect insulation to do.

The blanket is nice to have on hand for those rare occasions I might need it but I feel like if you have a PID and live in the warmer climates you probably won’t use it much.