Q: In winter I wear a thick hat. It covers my head and forehead. Is it wrong to wear this type of hat for salah. Is this correct?

A: When making sajdah, the sajdah should be firmly done upon the ground. In other words, you should press your forehead firmly enough whilst wearing your hat (turban, etc.)

Allah Certainly Knows Best.

Suggestion/Recommendation: should the cold not be severe, in such a case it would be more preferred for the forehead to make contact upon the ground without much difficulty.