Sienna Miller and Jude Law were out at the Groucho club in London last night, as Jude took a break from filming Sherlock Holmes with Robert Downey Jr and Stephen Fry to spend time with Sienna. She was in LA earlier this month, possibly shooting The Trials of Cate McCullough with Kate Beckinsale. She kept warm in a furry coat, while Jude wore a hat in the below freezing temperatures. He's been braving the cold a lot this winter, beginning in Richmond Park a few weeks ago and showing off period costumes with RDJ in Oxfordshire.