They really do look frail, however I found them a lot tougher than they look. Where I live it frequently gets to -30 Fahrenheit, and they did just fine with no added heat.
I keep coturnix quail in sub-zero temperatures with not extra heat. They haven't had any problems so far other than occasional frostbite on the tips of their toes. I have found them to be a lot tougher than they look.