As pullets, their combs won't be huge. But as they grow you are going to want to watch out for and treat the frostbite that is likely to occur at those temps especially with leghorns' big combs.
If you want to heat, consider the panel heaters rather than a heat lamp. Much less risk there.
Eliminate drafts in the coop but don't restrict necessary ventilation. I lined my walls with feed bags on the side I get prevailing winds as my coop has some gaps between the boards.
I'd invest time and effort on providing protection from wind and snow in the run before I'd heat the coop, but that is just me. If you can keep them out of the wind and active during the day they will be happier and have an easier time keeping themselves warm at night.
My first winter I did run a cinder block heater in my coop because it made me feel better. I had gotten my birds in spring so they were older than yours but I figured they could huddle near it if they needed. A few times I found a pullet perched on top or a depression in the shavings next to it as evidence that someone spent the night beside it.
Ditto on extra thick bedding or straw.