Last winter was our girls' first winter and it was one of the coldest and snowiest in a long time. We don't have heat nor insulation and the girls did just fine. Mostly we decided to not put in heat because many of our storms come with power outages and then they might not be able to handle the cold. Some bitter, cold mornings I did bring out some warm oatmeal with apples for then because I felt so bad, but they seemed fine! We chose cold hardy breeds though, so that may have helped- black australorp, barred rock, silver laced Wyandotte, buff Orpington and 2 Also I did have to spend some time putting Vaseline on their wattles which were getting frostbite.
We have an enclosed run with a roof, so we did wrap the lower 3 feet of hardware cloth with clear plastic to keep the snow (mostly ) out of the run, so they always had somewhere snow free and partially windblocked to hang out during the day. The only times that they wouldn't come out of the coop was during blizzards.
I hope that helps!