They should be fine as long as they can go inside to get out of the wind. Make sure it doesn't have any really bad drafts, and give them some nice deep bedding and a flat roost like a board that they can stand on and protect their feet under their feathers. Birds with large combs like Leghorns are really prone to frostbite, so you might want to consider small-combed breeds. Frostbitten combs won't kill them, but it does look ugly. Birds with large combs can be "dubbed" (have the combs cut off) like game birds to prevent frostbite, if you've just got to have one of those breeds. I personally prefer to avoid heat lamps unless absolutely necessary. They can be a fire hazard, animals can break them (leaving you with shattered glass all over the floor for them to step on), and the constant going from the warm indoors to the cold outdoors and back again is hard on them. It's better for them to be in the cold than to do that. Also, provide them with extra calories in the winter time. Digestion produces heat, so extra food is helpful. Also, keeping their temperature up in colder weather requires more work, which burns more calories, so they will be hungrier. Something higher in fat is a good choice for a winter supplement, many people like to add extra corn to their feed in winter because it's fatty. Rice bran would also work nicely, you can get it powdered, pelleted, or in an oil. Just don't overfeed to the point of having obese birds, of course!
Animals are much more tough than we give them credit for; I used to have a horse in Colorado that would go outside in the snow when it was -20 and play in the water trough. She would never use the barn, no matter how cold or windy. She would be standing up to her belly in snow in the freezing wind, no blanket, and perfectly content.