If your breeds are intelligently-chosen and your coop well-designed and well-managed, no, you would not normally need a heat lamp in winter in Wisconsin. (If you have very large-elaborate-combed breeds, or insufficient ventilation, or drafts, or a humid coop, or aren't feeding them enough, or that sort of thing, then a heat lamp will help, although not as much as correcting the fundamental problem would help)
There are a lot of things you can do to keep the coop from getting as cold as the outdoor air, especially if it is a decent-sized walk-in coop as opposed to, like, a small reach-in type coop (which is a lot harder to manage in cold winter temperatures). Excellent insulation helps a whole lot, as does having lotsa solar gain during the day and lotsa thermal mass to hold that warmth through the nighttime. Etcetera.
It is never a bad idea, though, IMHO, to have electricity available so that you *can* hook up a lamp if circumstances make it seem prudent. Like if the indoor coop temperature is getting down below -20 F a lot; or if some of the chickens are having trouble, like incipient frostbite or being sick for other reasons and not needing super cold temperatures on top of it. Also of course life is SO much easier with a heated waterer or waterer base, so you don't have to bring them fresh liquid water a buncha times a day and hope they drink enough before it freezes.
FWIW, the first person I knew when I moved to Canada who had chickens around here, kept them in an unheated old-style coop with a wire front that she stapled plastic sheeting over for winterizing. No heat, no extra lighting, no nuffin' else. They did fine
Good luck, have fun,
Pat
