Hi, Chad! Nice to meet a fellow Chicagoan with chickens!
I got my "girls" about a month ago as pullets. Before I took the plunge into raising chickens, I was able to speak with guy a few blocks away who had chickens and get his insights on winter and where to get feed, etc. He let his chickens free range all over his yard, and they even wandered into the neighboring yards and forest preserve. (His neighbors didn't seem to mind). Obviously, this guy has a nice sized lot for the city, as well as a prime location.
His coop was a children's playhouse and he showed me how he'd stuffed it full of straw. He said in the winter, the chickens just burrowed into the straw and huddled together for warmth. He said he was advised by his in-laws in Maine NOT to use a heat lamp because the chickens would do better without it, as long as he provided them with enough straw.
He'd had his chickens for years and they did just fine through the winter this way. In his small flock, he had two roosters (one was a big white leghorn that he said just wandered out of the forest preserve one day and was likely an escapee from a Santaria ceremony), a little bantam hen, and a full sized hen (which unfortunately had just been executed by a racoon the night before, since he hadn't locked her in the coop.)
Since your set up is under the porch, you should get some good radiant heat from the house to make their living area a bit warmer. Adding lots of straw under there for additional insulation should be just what's needed. As others have said, it's likely best not to put a heat light under there near the straw.
I've actually been thinking about if/how I can move my chicken coop set up under my porch for the winter for additional protection from wind and to let them benefit from some of the heat we lose from our old house to the outside. I have an Eglu with an attached run that makes it somewhat awkward to fit into the hatch opening under my porch. Plus it's sort of dark under there since it is sided and not open lattice like yours.
Definitely take the advice about adding additional hardware cloth wire to the inside of the lattice. I'm not sure which neighborhood you're in, but I've seen 'possums and skunks in my area (border of Forest Glen/Jefferson Park) and I'm certain there are racoons that may wander in at will. Being farther from the forest preserve means that I don't have the same risks, but I also worry about stray cats, dogs, and even coyotes. (Remember the coyote that trotted into the Quiznos downtown a few months ago? They're all over the place. My sister even saw one running along the Blue Line tracks near the Addison stop, heading towards the Loop. Hope it caught a few of the rats that live in the subway tunnels.)
Keeping rodents out of your chicken's food is another reason to use that fine hardware cloth. The rats and mice do just fine without us providing them an easy meal.
Feel free to send me an email. Such a treat to see that others are keeping chickens in Chicago, too!