Maybe they're slipping outside in pairs to make out. Those long night watches get awfully lonely I'd imagine...
Or slipping outside (alone) to meet a wench - which could give your heroes some great ethical dilemnas, because of course we can take out the guard, but what about the (presumably) innocent witness?
Slipping out to meet somebody who is bribing the guard could be very interesting - though it might divert your players into finding out what the bribery is about...
Slipping out to see one of the guard's relatives might also be reasonable: more G-rated, provides the innocent angle, and there could be any number of reasons for that conversation: from here's a warm pot-pie on a cold night, to continuing an argument, to begging for help - again, player-diversion warning.
The pipe doesn't have to be 'refined'; it is the reasonable alternative to cigarettes for a nicotine addiction in a fantasy world, so I'd imagine any number of people would use it.
Finally, what about a flask of alchohol? Presumably, drinking on duty is forbidden by a competent guard captain, but those nights sure do get cold, and a shot of firewater might just warm me up. Of course, I have to be out of view lest the captain see me.