Nope, don't insulate. Even way up in Canada that is not needed. You aren't trying to keep the coop warm in winter. Summer heat is harder on chickens than the winter cold, and good cross ventilation or an outside run with shade, takes care of that. If you want to take precautions in winter, build the coop with the thought that you might want to put a tarp over part of it to block the really bad weather (blowing snow and freezing rain for ex). If you buy a tarp and have a way to easily put it up for the really bad days, then you will feel better and they will have that little bit of added protection. We all say ventilation is key, but let's face it - in last winter's blizzards and ice storms, were we really worried that there as not enough ventilation? Of course, the next day, when the sun comes out, you want to take it off and open things up. You'll be amazed at how in super cold, but sunny and still days, the birds will be acting perfectly normal. Well some don't care for the deep snow, but other than that.
Thank you for your advice, the tarp is a great idea! The run is already covered for summer shade but my girls free range all day anyways. Their favorite spot right now is under some pine trees, unless I am outside then of course they have to follow me around. They wouldn't want to miss anything! I am not very old (32) but last winter was the worst one I have ever experienced. I guess I am just overprotective and nervous for my first winter with chickens. Besides our honey bees, they are our first outside pets.