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Definitions:
~A participle is a verbal functioning as an ADJECTIVE -- to modify a noun or pronoun.
~A participle phrase functions as an ADJECTIVE to modify a noun, pronoun or noun phrase.
~A participle clause is a form of ADVERBIAL clause (even though the participle itself is functioning as an adjective). Participle clauses give information about condition, reason, result or time.
The sentence can be interpreted in two ways:
(1) "wearing a heavy coat" is a participle phrase, acting as an adjective phrase to modify the subject "Helen". However, it needs a comma in the sentence to set off the participle phrase.
a. Wearing a heavy coat, Helen said she felt hot.
b. Helen said she felt hot, wearing a heavy coat.
(2). meaning: Helen felt hot because she wore a heavy coat.
(Wearing a heavy coat, Helen felt hot.) Again, comma is needed to set off the adverbial within the indirect speech.
Helen said (that) wearing a heavy coat, she felt hot.
"wearing a heavy coat" and "asking an easy question" are normally adjectival, but can also be treated as adverbial if it relates with the main clause with either a condition, a reason, a result or a time sequence.