How cold is 'cold'? Chickens have a lot of insulating fluff under their sleek exteriors. As mentioned earlier in the thread, don't lock them up if the run is secure enough. They can decide for themselves if it's acceptable weather outside.
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Frostbite is usually caused by a lack of ventilation. Moist air from the chickens' breathing needs to be able to escape, otherwise it can condense on the combs and freeze. As long as they are kept dry, and are in a well ventilated coop, chickens can handle temps well below zero.