Well, first they need a solid house to be in at night during the winter for sure. They need to be out of any drafts, but still have decent air flow via vents near the roof. Ducks are very cold hardy if they are provided with proper shelter like this, they don't really need any extra heat from heat lamps or space heaters. Those just introduce an unnecessary fire risk. So as long as they have shelter to get out of the weather and drafts, they should be ok. You'll want to have lots of bedding in their house to keep them warm, I use shavings and straw.
What kind of ducks do you have and where do you live, though? Some breeds are more cold hardy than others. Muscovies and Runners aren't as good with the cold as most other breeds, for example. I have Cayugas and they do fine here in Swedish winters without any extra heat, but they have a really good duck house for nighttime, and also little shelters out in their yard to protect from snow and some of the wind.
There are lots of threads here about duck care in the winter if you do a quick search with much more information. :)